uGASFit {GAS}

Class for the univariate GAS fitted object

Description

Class for the univariate GAS fitted object.

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

ModelInfo:

Object of class list. Contains information about the GAS specification:

• Spec: object of the class uGASSpec containing the GAS specification.

• iT: numeric number of observation.

• elapsedTime: numeric elapsed Time in seconds.

GASDyn:

Object of class list. Contains: the series of filtered dynamic (GASDyn$mTheta) for the time–varying parameters, the series of scaled scores (GASDyn$mInnovation), the series of unrestricted filtered parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the log likelihood evaluated at its optimum value (GASDyn$dLLK)

.

Estimates:

Object of class list. Contains: lParList list of estimated parameters, optimiser object delivered from the optimization function, StaticFit ML estimates for the constant model, Inference inferential results for the estimated parameters.

Data:

The user's data.

Testing:

Statistical tests results.

Methods

• show signature(object = 'uGASFit'): print object information.

• summary signature(object = 'uGASFit'): Show summary.

• plot signature(x = 'uGASFit',y = 'missing'): Plot filtered dynamic and other estimated quantities.

• getFilteredParameters signature(object = 'uGASFit'): Extract filtered parameters.

• getObs signature(object = 'uGASFit'): Extract original observations.

• coef signature(object = 'uGASFit'): Returns a named vector of estimated coefficients. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list with arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.

• pit signature(object = 'uGASFit'): Extract Probability Integral Transformation.

• getMoments signature(object = 'uGASFit'): Extract conditional moments.

• residuals signature(object = 'uGASFit'): Extract the residuals. Also accepts the additional logical argument standardize. If standardize = TRUE, residuals are standardized by the filtered standard deviation. By default standardize = FALSE.

• convergence signature(object = 'uGASFit'): Extract convergence information.

• quantile signature(object = 'uGASSim'): Compute quantiles of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

• ES signature(object = 'uGASSim'): Compute Expected Shortfall of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

Author(s)

Leopoldo Catania