uGMAR (version 3.1.0)

quantileResidualPlot: Ploy quantile residual time series and kernel density

Description

quantileResidualsPlot plots quantile residual time series and histogram.

Usage

quantileResidualPlot(gsmar)

Arguments

gsmar

object of class 'gsmar' created with the function fitGSMAR or GSMAR.

Value

Only plots to a graphical device and doesn't return anything.

Suggested packages

Install the suggested package "gsl" for faster evaluation of the quantile residuals of StMAR and G-StMAR models.

References

• Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11, 63-71.

• Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15, 358-393.

• Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36, 247-266.

• Meitz M., Preve D., Saikkonen P. 2018. A mixture autoregressive model based on Student's t-distribution. arXiv:1805.04010 [econ.EM].

• There are currently no published references for G-StMAR model, but it's a straight forward generalization with theoretical properties similar to GMAR and StMAR models.

See Also

diagnosticPlot, fitGSMAR, GSMAR, quantileResidualTests, simulateGSMAR

Examples

# NOT RUN {
# GMAR model
fit12 <- fitGSMAR(data=logVIX, p=1, M=2, model="GMAR")
quantileResidualPlot(fit12)

# Non-mixture version of StMAR model
fit11t <- fitGSMAR(logVIX, 1, 1, model="StMAR", ncores=1, ncalls=1)
quantileResidualPlot(fit11t)

# Restricted G-StMAR-model
fit12gsr <- fitGSMAR(logVIX, 1, M=c(1, 1), model="G-StMAR",
 restricted=TRUE)
quantileResidualPlot(fit12gsr)

# Such StMAR(3,2) that the AR coefficients are restricted to be
# the same for both regimes and that the second AR coefficients are
# constrained to zero.
fit32rc <- fitGSMAR(logVIX, 3, 2, model="StMAR", restricted=TRUE,
 constraints=matrix(c(1, 0, 0, 0, 0, 1), ncol=2))
quantileResidualPlot(fit32rc)
# }