quantile_residuals {uGMAR} | R Documentation |
Compute quantile residuals of GMAR, StMAR, or G-StMAR model
Description
quantile_residuals
computes the quantile residuals of the specified GMAR, StMAR, or G-StMAR model.
Usage
quantile_residuals(
data,
p,
M,
params,
model = c("GMAR", "StMAR", "G-StMAR"),
restricted = FALSE,
constraints = NULL,
parametrization = c("intercept", "mean")
)
Arguments
data |
a numeric vector or class |
p |
a positive integer specifying the autoregressive order of the model. |
M |
|
params |
a real valued parameter vector specifying the model.
Symbol |
model |
is "GMAR", "StMAR", or "G-StMAR" model considered? In the G-StMAR model, the first |
restricted |
a logical argument stating whether the AR coefficients |
constraints |
specifies linear constraints imposed to each regime's autoregressive parameters separately.
The symbol |
parametrization |
is the model parametrized with the "intercepts" |
Details
Numerical integration is employed if the quantile residuals cannot be obtained analytically with the hypergeometric function using the package 'gsl'.
Value
Returns a (Tx1)
numeric vector containing the quantile residuals of the specified GMAR, StMAR or G-StMAR model.
Note that there are no quantile residuals for the first p
observations as they are the initial values.
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.
Examples
# GMAR model
params12 <- c(1.70, 0.85, 0.30, 4.12, 0.73, 1.98, 0.63)
quantile_residuals(simudata, p=1, M=2, params=params12, model="GMAR")
# G-StMAR-model
params42gs <- c(0.04, 1.34, -0.59, 0.54, -0.36, 0.01, 0.06, 1.28, -0.36,
0.2, -0.15, 0.04, 0.19, 9.75)
quantile_residuals(M10Y1Y, p=4, M=c(1, 1), params=params42gs, model="G-StMAR")