uGASRoll {GAS} | R Documentation |
Class for the univariate GAS rolling object
Description
Class for the univariate GAS rolling 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).
-
Info
:list
with forecast information.Data
:list
with original data.Testing
:Statistical tests results.
Methods
-
show
signature(object = 'uGASRoll')
: Show summary. -
plot
signature(x = 'uGASRoll', y = 'missing')
: Plot forecasted quantities. -
getForecast
signature(object = 'uGASRoll')
: Extract parameters forecast. -
getObs
signature(object = 'uGASRoll')
: Extract original observations. -
pit
signature(object = 'uGASRoll')
: Extract Probability Integral Transformation, only ifRoll = TRUE
-
quantile
signature(object = 'uGASRoll')
: Extract quantile forecasts. It accepts the addional argumentprobs
representing the vector of probabilities. -
ES
signature(object = 'uGASRoll')
: Extract Expected Shortfall forecasts. It accepts the addional argumentprobs
representing the vector of probabilities. -
getMoments
signature(object = 'uGASRoll')
: Extract moments forecasts. -
LogScore
signature(object = 'uGASRoll')
: Extract Log Scores. -
residuals
signature(object = 'uGASRoll')
: Extract the forecast errors. Also accepts the additional logical argumentstandardize
. Ifstandardize = TRUE
, forecast errors are standardized by the forecast standard deviation. By defaultstandardize = FALSE
. -
coef
signature(object = 'uGASFit')
: Returns a matrix of estimated coefficients. Each row of the matrix corresponds to a refit of the model during the forecast period according to theRefitEvery
argument provided in the UniGASRoll function. Also accepts the additional logical argumentdo.list
. Ifdo.list = TRUE
, estimated coefficients are organized in a list of lists according according to theRefitEvery
argument provided in the UniGASRoll function. Each list is populated by three arguments:vKappa
the intercept vector,mA
the A system matrix,mB
the B system matrix. By default,do.list = FALSE
.
Author(s)
Leopoldo Catania