tsprofile.tsgarch.spec {tsgarch}

Model Parameter Profiling

Description

Profiles the model parameters under the assumptions of the model.

Usage

## S3 method for class 'tsgarch.spec'
tsprofile(
  object,
  nsim = 100,
  sizes = c(800, 1000, 1500, 2000, 3000),
  var_init = NULL,
  seed = NULL,
  burn = 0,
  trace = FALSE,
  ...
)

Arguments

object

an object of class “tsgarch.spec” with pre-set parameters.

nsim

the number of paths to generate.

sizes

a vector of data sizes for which to simulate and estimate.

var_init

the variance to use to initialize the simulation.

seed

an object specifying if and how the random number generator should be initialized. See the simulate documentation for more details.

burn

burn in samples.

trace

whether to show the progress bar. The user is expected to have set up appropriate handlers for this using the “progressr” package.

...

not currently used.

Details

The function profiles the parameters of a model by simulating and then estimating multiple paths from the assumed DGP. This makes it possible to obtain a better understanding of the convergence properties (RMSE) of each parameter under different data sizes.

Value

An object of class “tsgarch.profile”.

Note

The function can use parallel functionality as long as the user has set up a plan using the future package. External regressors are not supported at this time and an error will occur if persent in the specification.