Class for the multivariate GAS fitted object.
A virtual Class: No objects may be created from it.
Data:Object of class list. Contains the user's data.
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Estimates:Object of class list. Contains: lParList list of
estimated parameters, optimiser object delivered from the optimization function, StaticFit ML
estimates for the constant model, Inference inferential results for the estimated parameters.
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GASDyn:Object of class list. Contains: the series of filtered dynamic (GASDyn$mTheta)
for the time--varying parameters, the series of scaled scores (GASDyn$mInnovation), the series of
unrestricted filtered parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the
log likelihood evaluated at its optimum value (GASDyn$dLLK)
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ModelInfo:Object of class list. Contains information about the GAS specification:
Spec Object of the class uGASSpec containing the GAS specification.
iT numeric Number of observation.
elapsedTime Numeric elapsed time in seconds.
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show signature(object = 'mGASFit'): print object information.
summary signature(object = 'mGASFit'): Show summary.
plot signature(x='mGASFit', y='missing'): Plot filtered dynamic and other estimated quantities.
getFilteredParameters signature(object = "mGASFit"): Extract filtered parameters.
getObs signature(object = "mGASFit"): Extract original observations.
coef signature(object = 'uGASFit'): Returns a named vector of estimated coefficients.
Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients
are organized in a list with arguments: vKappa the intercept vector, mA the A system matrix,
mB the B system matrix. By default, do.list = FALSE.
getMoments signature(object = "mGASFit"): Extract conditional moments.
residuals signature(object = 'mGASFit'): Extract the residuals.
Also accepts the additional logical argument standardize. If standardize = TRUE,
residuals are standardized by cholesky of the filtered covariance matrix. By default standardize = FALSE.
convergence signature(object = 'mGASFit'): Extract convergence information.
Leopoldo Catania