Class for the univariate GAS fitted object.
A virtual Class: No objects may be created from it.
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.
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)
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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Data:The user's data.
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Testing:Statistical tests results.
show signature(object = 'uGASFit'): print object information.
summary signature(object = 'uGASFit'): Show summary.
plot signature(x = 'uGASFit',y = 'missing'): Plot filtered dynamic and other estimated quantities.
getFilteredParameters signature(object = 'uGASFit'): Extract filtered parameters.
getObs signature(object = 'uGASFit'): 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.
pit signature(object = 'uGASFit'): Extract Probability Integral Transformation.
getMoments signature(object = 'uGASFit'): Extract conditional moments.
residuals signature(object = 'uGASFit'): Extract the residuals.
Also accepts the additional logical argument standardize. If standardize = TRUE,
residuals are standardized by the filtered standard deviation. By default standardize = FALSE.
convergence signature(object = 'uGASFit'): Extract convergence information.
quantile signature(object = 'uGASSim'): Compute quantiles of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.
ES signature(object = 'uGASSim'): Compute Expected Shortfall of the filtered estimated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.
Leopoldo Catania