uGASFor {GAS} | R Documentation |
Class for the univariate GAS forecast object
Description
Class for the univariate GAS forecast object.
Objects from the Class
A virtual Class: No objects may be created from it.
Slots
Forecast
:Object of class
list
. Contains forecasts:-
PointForecast
:matrix
with parameters forecasts. -
Moments
:matrix
with centered moments forecasts. -
vLS
:numeric
Log Score (Predictive Log Likelihood). -
vU
:numeric
Out-of-sample Probability Integral Transformation (PIT).
-
Bands
:array
with confidence bands parameters forecasts. Available only ifRoll = TRUE
.Draws
:If
ReturnsDraws = TRUE
it is a iH x iBmatrix
of draws from the predictive distribution.Info
:list
with forecast information.Data
:list
with original data.
Methods
-
show
signature(object = 'uGASFor')
: Show summary. -
plot
signature(x = 'uGASFor', y = 'missing')
: Plot forecasted quantities. -
getForecast
signature(object = 'uGASFor')
: Extract parameters forecast. -
getObs
signature(object = 'uGASFor')
: Extract original observations. -
pit
signature(object = 'uGASFor')
: Extract Probability Integral Transformation, only ifRoll = TRUE
. -
quantile
signature(object = 'uGASFor')
: Extract quantile forecasts. For multistep ahead prediction ES is computed by simulation andReturnsDraws = TRUE
should have been selected. It accepts the additional argumentprobs
representing the vector of probabilities. -
ES
signature(object = 'uGASFor')
: Extract Expected Shortfall forecasts. For multistep ahead prediction ES is computed by simulation andReturnsDraws = TRUE
should have been selected. It accepts the additional argumentprobs
representing the vector of probabilities. -
getMoments
signature(object = 'uGASFor')
: Extract moments forecasts. -
LogScore
signature(object = 'uGASFor')
: Extract Log Scores.
Author(s)
Leopoldo Catania