mGASSpec

mGASSpec-class

show,mGASSpec-method

Class for the Multivariate GAS model specification.

classes

Simulate, estimate and forecast using univariate and multivariate GAS models
as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.

Leopoldo Catania

Generalized Autoregressive Score Models

David Ardia

Kris Boudt

mGASSpec function

A virtual Class: No objects may be created from it.

Objects from the Class

<dl>
 <dt><code>Spec</code>:</dt>
<dd>Object of class <code>list</code>. Contains information abount the multivariate GAS specification:<ul>
<li><code>Dist</code>: <code>character</code> Containing the conditional distribution assumption.</li>
<li><code>ScalingType</code>: <code>character</code> indicating the scaling mechanism for the conditional score.</li>
<li><code>GASPar</code>: <code>list</code> with elements: location, scale, correlation, shape.</li>
<li><code>ScalarParameters</code>: <code>logical</code> indicates if the parameters of the locations, scales and 
correlations dynamic have to be scalars or a diagonal matrices.</li>
</ul>
</dd> 
</dl>

Slots

<ul>
<li><code>show</code> <code>signature(object = 'mGASSpec')</code>: Show summary.</li>
</ul>

Methods

Author

Class for the Multivariate GAS model specification — mGASSpec

<dl>
 <dt><code>Spec</code>:</dt>
<dd>Object of class <code>list</code>. Contains information abount the multivariate GAS specification:<ul>
<li><code>Dist</code>: <code>character</code> Containing the conditional distribution assumption.</li>
<li><code>ScalingType</code>: <code>character</code> indicating the scaling mechanism for the conditional score.</li>
<li><code>GASPar</code>: <code>list</code> with elements: location, scale, correlation, shape.</li>
<li><code>ScalarParameters</code>: <code>logical</code> indicates if the parameters of the locations, scales and 
correlations dynamic have to be scalars or a diagonal matrices.</li>
</ul>
</dd>

 
</dl>

mGASSpec: Class for the Multivariate GAS model specification

Description

Arguments

Objects from the Class

Slots

Methods

Author