vgltsff-class

vgtsff-class

vgltsmff-class

ARMAvgltsmff

Time series family functions for the VGAMextra package

vgltsmff

Extending the functionalities of the 'VGAM' package with
additional functions and datasets. At present, 'VGAMextra'
comprises new family functions (ffs) to estimate several time
series models by maximum likelihood using Fisher scoring,
unlike popular packages in CRAN relying on optim(), including
ARMA-GARCH-like models, the Order-(p, d, q) ARIMAX model (non-
seasonal), the Order-(p) VAR model, error correction models
for cointegrated time series, and ARMA-structures with Student-t
errors. For independent data, new ffs to estimate the inverse-
Weibull, the inverse-gamma, the generalized beta of the second
kind and the general multivariate normal distributions are
available. In addition, 'VGAMextra' incorporates new VGLM-links
for the mean-function, and the quantile-function (as an alternative
to ordinary quantile modelling) of several 1-parameter distributions,
that are compatible with the class of VGLM/VGAM family functions.
Currently, only fixed-effects models are implemented. All functions
are subject to change; see the NEWS for further details on the
latest changes.

Victor Miranda

VGAMextra

Additions and Extensions of the 'VGAM' Package

Thomas Yee

vgltsmff function

Objects can be created by calling 
 <code>new("vgltsmff"...)</code>

Objects from the Class

Implementation of vector generalized linear time series (TS) family 
functions (vgltsff) at VGAMextra is entirely based on 
the structure of family functions of the class 
<code>vglmff-class</code>.
Hence, refer to <code>vglmff-class</code> for a 
thourugh description of slots and features involved when objects 
of class <code>"vgtsff"</code> are being created.

slots

Thus far, the following methods for objects of class
 <code>"vgltsff-class"</code> are implemented: 
<dl>
 
 <dt><code>summary</code></dt>
<dd>
 
Additional information to that displayed by the <code>summary</code>
 methods from VGAM. That is: 
a) Standard errors based on the MLEs asymptotic distributions, and 
b) Checks on stationarity and/or invertibility via the polynomial roots. 
 
 
Currently, summary methods at VGAMextra have been 
 implemented for: 
<dl>
 <dt><code>signature(VGAMff = "ARff")</code>:</dt>
<dd>For ARX--types family functions.</dd> <dt><code>signature(VGAMff = "MAff")</code>:</dt>
<dd>For MAX--types family functions.</dd> <dt><code>signature(VGAMff = "ARMAff")</code>:</dt>
<dd>For ARMAX--like family functions.</dd> 
</dl></dd> See 
 summaryS4VGAMextra
 for further details.
 
</dl>

Methods

Author

Class of Vector Generalized Linear Time Series Models — vgltsmff

Implementation of vector generalized linear time series (TS) family 
functions (vgltsff) at VGAMextra is entirely based on 
the structure of family functions of the class 
<code>vglmff-class</code>.
Hence, refer to <code>vglmff-class</code> for a 
thourugh description of slots and features involved when objects 
of class <code>"vgtsff"</code> are being created.

Thus far, the following methods for objects of class
 <code>"vgltsff-class"</code> are implemented: 
<dl>
 
 <dt><code>summary</code></dt>
<dd>
 
Additional information to that displayed by the <code>summary</code>
 methods from VGAM. That is: 
a) Standard errors based on the MLEs asymptotic distributions, and 
b) Checks on stationarity and/or invertibility via the polynomial roots. 
 
 
Currently, summary methods at VGAMextra have been 
 implemented for: 
<dl>
 <dt><code>signature(VGAMff = "ARff")</code>:</dt>
<dd>For ARX--types family functions.</dd>

 <dt><code>signature(VGAMff = "MAff")</code>:</dt>
<dd>For MAX--types family functions.</dd>

 <dt><code>signature(VGAMff = "ARMAff")</code>:</dt>
<dd>For ARMAX--like family functions.</dd>

 
</dl></dd>

 See 
 summaryS4VGAMextra
 for further details.
 
</dl>

vgltsmff: Class of Vector Generalized Linear Time Series Models

Description

Arguments

Objects from the Class

slots

Methods

Author