| condmomentPlot {uGMAR} | R Documentation |
DEPRECATED, USE cond_moment_plot INSTEAD! Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models
Description
condmomentPlot plots the one-step in-sample conditional means/variances of the model along with
the time series contained in the model (e.g. the time series the model was fitted to). Also plots
the regimewise conditional means/variances multiplied with the mixing weights.
DEPRECATED, USE cond_moment_plot INSTEAD!
Usage
condmomentPlot(gsmar, which_moment = c("mean", "variance"))
Arguments
gsmar |
a class 'gsmar' object, typically generated by |
which_moment |
should conditional means or variances be plotted? |
Details
DEPRECATED, USE cond_moment_plot INSTEAD!
Value
cond_moment_plot only plots to a graphical device and does not return anything. Numerical values
of the conditional means/variances can be extracted from the model with the dollar sign.
References
Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11, 63-71.
Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15, 358-393.
Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36(2), 247-266.
Meitz M., Preve D., Saikkonen P. 2023. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, 52(2), 499-515.
Virolainen S. 2022. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, 26(4) 559-580.
See Also
profile_logliks, diagnostic_plot, fitGSMAR, GSMAR, quantile_residual_tests,
quantileResidualPlot