Bayesian Vector Heterogeneous Autoregressive Modeling

[Up] [Top]

Documentation for package ‘bvhar’ version 2.0.1

Help Pages

A B C D E F G H I K L M O P R S V

-- A --

AIC.bvarflat Akaike's Information Criterion of Multivariate Time Series Model
AIC.bvarmn Akaike's Information Criterion of Multivariate Time Series Model
AIC.bvharmn Akaike's Information Criterion of Multivariate Time Series Model
AIC.varlse Akaike's Information Criterion of Multivariate Time Series Model
AIC.vharlse Akaike's Information Criterion of Multivariate Time Series Model
analyze_ir Impulse Response Analysis
analyze_ir.varlse Impulse Response Analysis
analyze_ir.vharlse Impulse Response Analysis
autolayer.predbvhar Plot Forecast Result
autoplot.bvharirf Plot Impulse Responses
autoplot.bvharsp Plot the Result of BVAR and BVHAR MCMC
autoplot.normaliw Residual Plot for Minnesota Prior VAR Model
autoplot.predbvhar Plot Forecast Result
autoplot.summary.bvharsp Plot the Heatmap of SSVS Coefficients
autoplot.summary.normaliw Density Plot for Minnesota Prior VAR Model

-- B --

BIC.bvarflat Bayesian Information Criterion of Multivariate Time Series Model
BIC.bvarmn Bayesian Information Criterion of Multivariate Time Series Model
BIC.bvharmn Bayesian Information Criterion of Multivariate Time Series Model
BIC.varlse Bayesian Information Criterion of Multivariate Time Series Model
BIC.vharlse Bayesian Information Criterion of Multivariate Time Series Model
bound_bvhar Setting Empirical Bayes Optimization Bounds
bvar_flat Fitting Bayesian VAR(p) of Flat Prior
bvar_horseshoe Fitting Bayesian VAR(p) of Horseshoe Prior
bvar_minnesota Fitting Bayesian VAR(p) of Minnesota Prior
bvar_niwhm Fitting Hierarchical Bayesian VAR(p)
bvar_ssvs Fitting Bayesian VAR(p) of SSVS Prior
bvar_sv Fitting Bayesian VAR-SV
bvhar_horseshoe Fitting Bayesian VHAR of Horseshoe Prior
bvhar_minnesota Fitting Bayesian VHAR of Minnesota Prior
bvhar_ssvs Fitting Bayesian VHAR of SSVS Prior
bvhar_sv Fitting Bayesian VHAR-SV

-- C --

choose_bayes Finding the Set of Hyperparameters of Bayesian Model
choose_bvar Finding the Set of Hyperparameters of Individual Bayesian Model
choose_bvhar Finding the Set of Hyperparameters of Individual Bayesian Model
choose_ssvs Choose the Hyperparameters Set of SSVS-VAR using a Default Semiautomatic Approach
choose_var Choose the Best VAR based on Information Criteria
coef.bvarflat Coefficient Matrix of Multivariate Time Series Models
coef.bvarmn Coefficient Matrix of Multivariate Time Series Models
coef.bvharmn Coefficient Matrix of Multivariate Time Series Models
coef.bvharsp Coefficient Matrix of Multivariate Time Series Models
coef.summary.bvharsp Coefficient Matrix of Multivariate Time Series Models
coef.varlse Coefficient Matrix of Multivariate Time Series Models
coef.vharlse Coefficient Matrix of Multivariate Time Series Models
compute_dic Deviance Information Criterion of Multivariate Time Series Model
compute_dic.bvarmn Deviance Information Criterion of Multivariate Time Series Model
compute_logml Extracting Log of Marginal Likelihood
compute_logml.bvarmn Extracting Log of Marginal Likelihood
compute_logml.bvharmn Extracting Log of Marginal Likelihood
confusion Evaluate the Sparsity Estimation Based on Confusion Matrix
confusion.summary.bvharsp Evaluate the Sparsity Estimation Based on Confusion Matrix
conf_fdr Evaluate the Sparsity Estimation Based on FDR
conf_fdr.summary.bvharsp Evaluate the Sparsity Estimation Based on FDR
conf_fnr Evaluate the Sparsity Estimation Based on FNR
conf_fnr.summary.bvharsp Evaluate the Sparsity Estimation Based on FNR
conf_fscore Evaluate the Sparsity Estimation Based on F1 Score
conf_fscore.summary.bvharsp Evaluate the Sparsity Estimation Based on F1 Score
conf_prec Evaluate the Sparsity Estimation Based on Precision
conf_prec.summary.bvharsp Evaluate the Sparsity Estimation Based on Precision
conf_recall Evaluate the Sparsity Estimation Based on Recall
conf_recall.summary.bvharsp Evaluate the Sparsity Estimation Based on Recall

-- D --

divide_ts Split a Time Series Dataset into Train-Test Set

-- E --

etf_vix CBOE ETF Volatility Index Dataset

-- F --

fitted.bvarflat Fitted Matrix from Multivariate Time Series Models
fitted.bvarmn Fitted Matrix from Multivariate Time Series Models
fitted.bvharmn Fitted Matrix from Multivariate Time Series Models
fitted.varlse Fitted Matrix from Multivariate Time Series Models
fitted.vharlse Fitted Matrix from Multivariate Time Series Models
forecast_expand Out-of-sample Forecasting based on Expanding Window
forecast_roll Out-of-sample Forecasting based on Rolling Window
FPE Final Prediction Error Criterion
FPE.varlse Final Prediction Error Criterion of Multivariate Time Series Model
FPE.vharlse Final Prediction Error Criterion of Multivariate Time Series Model
fromse Evaluate the Estimation Based on Frobenius Norm
fromse.bvharsp Evaluate the Estimation Based on Frobenius Norm

-- G --

geom_eval Adding Test Data Layer
gg_loss Compare Lists of Models

-- H --

HQ Hannan-Quinn Criterion
HQ.bvarflat Hannan-Quinn Criterion of Multivariate Time Series Model
HQ.bvarmn Hannan-Quinn Criterion of Multivariate Time Series Model
HQ.bvharmn Hannan-Quinn Criterion of Multivariate Time Series Model
HQ.logLik Hannan-Quinn Criterion
HQ.varlse Hannan-Quinn Criterion of Multivariate Time Series Model
HQ.vharlse Hannan-Quinn Criterion of Multivariate Time Series Model

-- I --

init_ssvs Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
is.boundbvharemp See if the Object a class in this package
is.bvarflat See if the Object a class in this package
is.bvarmn See if the Object a class in this package
is.bvharcv See if the Object a class in this package
is.bvharemp See if the Object a class in this package
is.bvharmn See if the Object a class in this package
is.bvharpriorspec See if the Object a class in this package
is.bvharspec See if the Object a class in this package
is.horseshoespec See if the Object a class in this package
is.interceptspec See if the Object a class in this package
is.predbvhar See if the Object a class in this package
is.ssvsinit See if the Object a class in this package
is.ssvsinput See if the Object a class in this package
is.stable Stability of the process
is.stable.bvarflat Stability of VAR Coefficient Matrix
is.stable.bvarmn Stability of VAR Coefficient Matrix
is.stable.bvharmn Stability of VAR Coefficient Matrix
is.stable.varlse Stability of VAR Coefficient Matrix
is.stable.vharlse Stability of VAR Coefficient Matrix
is.svspec See if the Object a class in this package
is.varlse See if the Object a class in this package
is.vharlse See if the Object a class in this package

-- K --

knit_print.boundbvharemp Setting Empirical Bayes Optimization Bounds
knit_print.bvarflat Fitting Bayesian VAR(p) of Flat Prior
knit_print.bvarhm Fitting Hierarchical Bayesian VAR(p)
knit_print.bvarhs Fitting Bayesian VAR(p) of Horseshoe Prior
knit_print.bvarmn Fitting Bayesian VAR(p) of Minnesota Prior
knit_print.bvarssvs Fitting Bayesian VAR(p) of SSVS Prior
knit_print.bvarsv Fitting Bayesian VAR-SV
knit_print.bvharcv Out-of-sample Forecasting based on Rolling Window
knit_print.bvharemp Finding the Set of Hyperparameters of Individual Bayesian Model
knit_print.bvharhs Fitting Bayesian VHAR of Horseshoe Prior
knit_print.bvharirf Impulse Response Analysis
knit_print.bvharmn Fitting Bayesian VHAR of Minnesota Prior
knit_print.bvharpriorspec Hyperpriors for Bayesian Models
knit_print.bvharspec Hyperparameters for Bayesian Models
knit_print.bvharssvs Fitting Bayesian VHAR of SSVS Prior
knit_print.bvharsv Fitting Bayesian VHAR-SV
knit_print.horseshoespec Horseshoe Prior Specification
knit_print.interceptspec Prior for Constant Term
knit_print.predbvhar Forecasting Multivariate Time Series
knit_print.ssvsinit Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
knit_print.ssvsinput Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
knit_print.summary.normaliw Summarizing Bayesian Multivariate Time Series Model
knit_print.summary.ssvsmod Summarizing BVAR and BVHAR with Shrinkage Priors
knit_print.summary.varlse Summarizing Vector Autoregressive Model
knit_print.summary.vharlse Summarizing Vector HAR Model
knit_print.varlse Fitting Vector Autoregressive Model of Order p Model
knit_print.vharlse Fitting Vector Heterogeneous Autoregressive Model

-- L --

logLik.bvarflat Extract Log-Likelihood of Multivariate Time Series Model
logLik.bvarmn Extract Log-Likelihood of Multivariate Time Series Model
logLik.bvharmn Extract Log-Likelihood of Multivariate Time Series Model
logLik.varlse Extract Log-Likelihood of Multivariate Time Series Model
logLik.vharlse Extract Log-Likelihood of Multivariate Time Series Model
lpl Evaluate the Model Based on Log Predictive Likelihood
lpl.predsv Evaluate the Model Based on Log Predictive Likelihood

-- M --

mae Evaluate the Model Based on MAE (Mean Absolute Error)
mae.bvharcv Evaluate the Model Based on MAE (Mean Absolute Error)
mae.predbvhar Evaluate the Model Based on MAE (Mean Absolute Error)
mape Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mape.bvharcv Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mape.predbvhar Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mase Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mase.bvharcv Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mase.predbvhar Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mrae Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mrae.bvharcv Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mrae.predbvhar Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mse Evaluate the Model Based on MSE (Mean Square Error)
mse.bvharcv Evaluate the Model Based on MSE (Mean Square Error)
mse.predbvhar Evaluate the Model Based on MSE (Mean Square Error)

-- O --

oxfordman Oxford-Man Institute Realized Library
oxfordman_rk Oxford-Man Institute Realized Library
oxfordman_rv Oxford-Man Institute Realized Library

-- P --

predict.bvarflat Forecasting Multivariate Time Series
predict.bvarhs Forecasting Multivariate Time Series
predict.bvarmn Forecasting Multivariate Time Series
predict.bvarssvs Forecasting Multivariate Time Series
predict.bvarsv Forecasting Multivariate Time Series
predict.bvharhs Forecasting Multivariate Time Series
predict.bvharmn Forecasting Multivariate Time Series
predict.bvharssvs Forecasting Multivariate Time Series
predict.bvharsv Forecasting Multivariate Time Series
predict.varlse Forecasting Multivariate Time Series
predict.vharlse Forecasting Multivariate Time Series
print.boundbvharemp Setting Empirical Bayes Optimization Bounds
print.bvarflat Fitting Bayesian VAR(p) of Flat Prior
print.bvarhm Fitting Hierarchical Bayesian VAR(p)
print.bvarhs Fitting Bayesian VAR(p) of Horseshoe Prior
print.bvarmn Fitting Bayesian VAR(p) of Minnesota Prior
print.bvarssvs Fitting Bayesian VAR(p) of SSVS Prior
print.bvarsv Fitting Bayesian VAR-SV
print.bvharcv Out-of-sample Forecasting based on Rolling Window
print.bvharemp Finding the Set of Hyperparameters of Individual Bayesian Model
print.bvharhs Fitting Bayesian VHAR of Horseshoe Prior
print.bvharirf Impulse Response Analysis
print.bvharmn Fitting Bayesian VHAR of Minnesota Prior
print.bvharpriorspec Hyperpriors for Bayesian Models
print.bvharspec Hyperparameters for Bayesian Models
print.bvharssvs Fitting Bayesian VHAR of SSVS Prior
print.bvharsv Fitting Bayesian VHAR-SV
print.horseshoespec Horseshoe Prior Specification
print.interceptspec Prior for Constant Term
print.predbvhar Forecasting Multivariate Time Series
print.ssvsinit Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
print.ssvsinput Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
print.summary.bvharsp Summarizing BVAR and BVHAR with Shrinkage Priors
print.summary.normaliw Summarizing Bayesian Multivariate Time Series Model
print.summary.varlse Summarizing Vector Autoregressive Model
print.summary.vharlse Summarizing Vector HAR Model
print.svspec Stochastic Volatility Specification
print.varlse Fitting Vector Autoregressive Model of Order p Model
print.vharlse Fitting Vector Heterogeneous Autoregressive Model

-- R --

relmae Evaluate the Model Based on RelMAE (Relative MAE)
relmae.bvharcv Evaluate the Model Based on RelMAE (Relative MAE)
relmae.predbvhar Evaluate the Model Based on RelMAE (Relative MAE)
relspne Evaluate the Estimation Based on Relative Spectral Norm Error
relspne.bvharsp Evaluate the Estimation Based on Relative Spectral Norm Error
residuals.bvarflat Residual Matrix from Multivariate Time Series Models
residuals.bvarmn Residual Matrix from Multivariate Time Series Models
residuals.bvharmn Residual Matrix from Multivariate Time Series Models
residuals.varlse Residual Matrix from Multivariate Time Series Models
residuals.vharlse Residual Matrix from Multivariate Time Series Models
rmafe Evaluate the Model Based on RMAFE
rmafe.bvharcv Evaluate the Model Based on RMAFE
rmafe.predbvhar Evaluate the Model Based on RMAFE
rmape Evaluate the Model Based on RMAPE (Relative MAPE)
rmape.bvharcv Evaluate the Model Based on RMAPE (Relative MAPE)
rmape.predbvhar Evaluate the Model Based on RMAPE (Relative MAPE)
rmase Evaluate the Model Based on RMASE (Relative MASE)
rmase.bvharcv Evaluate the Model Based on RMASE (Relative MASE)
rmase.predbvhar Evaluate the Model Based on RMASE (Relative MASE)
rmsfe Evaluate the Model Based on RMSFE
rmsfe.bvharcv Evaluate the Model Based on RMSFE
rmsfe.predbvhar Evaluate the Model Based on RMSFE

-- S --

set_bvar Hyperparameters for Bayesian Models
set_bvar_flat Hyperparameters for Bayesian Models
set_bvhar Hyperparameters for Bayesian Models
set_horseshoe Horseshoe Prior Specification
set_intercept Prior for Constant Term
set_lambda Hyperpriors for Bayesian Models
set_psi Hyperpriors for Bayesian Models
set_ssvs Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
set_sv Stochastic Volatility Specification
set_weight_bvhar Hyperparameters for Bayesian Models
sim_horseshoe_var Generate Horseshoe Parameters
sim_horseshoe_vhar Generate Horseshoe Parameters
sim_iw Generate Inverse-Wishart Random Matrix
sim_matgaussian Generate Matrix Normal Random Matrix
sim_mncoef Generate Minnesota BVAR Parameters
sim_mniw Generate Normal-IW Random Family
sim_mnormal Generate Multivariate Normal Random Vector
sim_mnvhar_coef Generate Minnesota BVAR Parameters
sim_mvt Generate Multivariate t Random Vector
sim_ssvs_var Generate SSVS Parameters
sim_ssvs_vhar Generate SSVS Parameters
sim_var Generate Multivariate Time Series Process Following VAR(p)
sim_vhar Generate Multivariate Time Series Process Following VAR(p)
split_coef Splitting Coefficient Matrix into List
split_coef.bvharirf Splitting Coefficient Matrix into List
split_coef.bvharmod Splitting Coefficient Matrix into List
spne Evaluate the Estimation Based on Spectral Norm Error
spne.bvharsp Evaluate the Estimation Based on Spectral Norm Error
stableroot Roots of characteristic polynomial
stableroot.bvarflat Characteristic polynomial roots for VAR Coefficient Matrix
stableroot.bvarmn Characteristic polynomial roots for VAR Coefficient Matrix
stableroot.bvharmn Characteristic polynomial roots for VAR Coefficient Matrix
stableroot.varlse Characteristic polynomial roots for VAR Coefficient Matrix
stableroot.vharlse Characteristic polynomial roots for VAR Coefficient Matrix
summary.hsmod Summarizing BVAR and BVHAR with Shrinkage Priors
summary.normaliw Summarizing Bayesian Multivariate Time Series Model
summary.ssvsmod Summarizing BVAR and BVHAR with Shrinkage Priors
summary.varlse Summarizing Vector Autoregressive Model
summary.vharlse Summarizing Vector HAR Model

-- V --

VARtoVMA Convert VAR to VMA(infinite)
var_lm Fitting Vector Autoregressive Model of Order p Model
VHARtoVMA Convert VHAR to VMA(infinite)
vhar_lm Fitting Vector Heterogeneous Autoregressive Model