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

Author(s)

Leopoldo Catania


[Package GAS version 0.3.4 Index]