Class for multivariate GAS model simulation.
A virtual Class: No objects may be created from it.
ModelInfo:Object of class list. Contains information about the multivariate GAS specification:
iT: numeric Time length of simulated observations.
iN: numeric Cross sectional dimension.
iK : numeric number of (possibly) time--varying parameters implied by the distributional assumption.
vKappa numeric vector of unconditional level for the reparametrized vector of parameters.
mA matrix of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.
mB matrix of autoregressive coefficients of dimension iK x iK.
Dist character label of the conditional distribution, see DistInfo
ScalingType character representing the scaling mechanism for the conditional score, see DistInfo
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GASDyn:Object of class list. Contains: the series of simulated
parameters (GASDyn$mTheta), the series of scaled scores (GASDyn$mInnovation),
the series of unrestricted simulated 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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Data:Object of class matrix. Matrix of dimension iN x iT of simulated data
show signature(object = 'mGASSim'): Show summary.
plot signature(x = 'mGASSim',y = 'missing'): Plot simulated data and parameters.
getFilteredParameters signature(object = 'mGASSim'): Extract simulated parameters.
getObs signature(object = 'mGASSim'): Extract simulated observations
coef signature(object = 'mGASSim'): Extract delivered coefficients
getMoments signature(object = 'uGASFor'): Extract simulated moments.
Leopoldo Catania