aa_uGMAR-package |
uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model |
aa_uGMAR |
uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model |
add_data |
Add data to object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
add_dfs |
Add random dfs to a vector |
all_pos_ints |
Check whether all arguments are positive scalar whole numbers |
calc_gradient |
Calculate gradient or Hessian matrix |
calc_hessian |
Calculate gradient or Hessian matrix |
changeRegime |
Change the specified regime of parameter vector to the given regime-parameter vector |
change_parametrization |
Change parametrization of the parameter vector |
checkAndCorrectData |
Check the data is set correctly and correct if not |
checkConstraintMat |
Check the constraint matrices |
checkPM |
Check p and M are correctly set |
check_data |
Check that given object contains data |
check_gsmar |
Check that given object has class attribute 'gsmar' |
check_model |
Check that the argument model is correctly specified. |
check_params_length |
Check that the parameter vector has the correct dimension |
diagnosticPlot |
Quantile residual based diagnostic plots for GMAR, StMAR and G-StMAR models |
extractRegime |
Extract regime from a parameter vector |
fitGMAR |
fitGMAR is deprecated |
fitGSMAR |
Estimate Gaussian or Student's t Mixture Autoregressive model |
forecastGMAR |
forecastGMAR is deprecated |
format_valuef |
Function factory for value formatting |
GAfit |
Genetic algorithm for preliminary estimation of GMAR, StMAR or G-StMAR model |
getOmega |
Generate covariance matrix Omega for quantile residual tests |
get_ar_roots |
Calculate absolute values of the roots of the AR characteristic polynomials |
get_gradient |
Calculate gradient or Hessian matrix |
get_hessian |
Calculate gradient or Hessian matrix |
get_IC |
Calculate AIC, HQIC and BIC |
get_regime_means |
Calculate and return regime means mu_{m} |
GSMAR |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
isIdentifiable |
Check the stationary and identification conditions of specified GMAR, StMAR or G-StMAR model. |
isStationary |
Check the stationary condition of specified GMAR, StMAR or G-StMAR model. |
isStationary_int |
Check the stationary and identification conditions of specified GMAR, StMAR or G-StMAR model. |
iterate_more |
Maximum likelihood estimation of GMAR, StMAR or G-StMAR model with preliminary estimates |
logLik.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
loglikelihood |
Compute the log-likelihood of GMAR, StMAR or G-StMAR model |
loglikelihood_int |
Compute the log-likelihood of GMAR, StMAR or G-StMAR model |
mixingWeights |
Calculate mixing weights of GMAR, StMAR or G-StMAR model |
mixingWeights_int |
Calculate mixing weights of GMAR, StMAR or G-StMAR model |
nParams |
Calculate the number of parameters |
parameterChecks |
Check the parameter vector is specified correctly |
pick_alphas |
Pick mixing weights parameters from parameter vector |
pick_dfs |
Pick degrees of freedom parameters from parameter vector |
pick_pars |
Pick phi_0/mu, AR-coefficients and variance parameters from parameter vector |
pick_phi0 |
Pick phi0 or mean parameters from parameter vector |
plot.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
plot.gsmarpred |
plot method for class 'gsmarpred' objects |
plot.qrtest |
Quantile residual tests for GMAR, StMAR or G-StMAR model |
plotGMAR |
plotGMAR is deprecated |
predict.gsmar |
Forecast GMAR, StMAR or G-StMAR process |
print.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
print.gsmarpred |
print method for class 'gsmarpred' objects |
print.gsmarsum |
Print method from objects of class 'gsmarsum' |
print.qrtest |
Quantile residual tests for GMAR, StMAR or G-StMAR model |
quantileResiduals |
Compute quantile residuals of GMAR, StMAR or G-StMAR model |
quantileResiduals_int |
Compute quantile residuals of GMAR, StMAR or G-StMAR model |
quantileResidualTests |
Quantile residual tests for GMAR, StMAR or G-StMAR model |
randomIndividual |
Create somewhat random GMAR, StMAR or G-StMAR model compatible parameter vector |
randomIndividual_int |
Create random GMAR, StMAR or G-StMAR model compatible parameter vector |
random_regime |
Create random regime |
reformConstrainedPars |
Reform parameter vector with linear constraints to correspond non-constrained parameter vector. |
reformParameters |
Reform any parameter vector into standard form. |
reformRestrictedPars |
Reform parameter vector with restricted autoregressive parameters to correspond non-restricted parameter vector. |
regime_distance |
Calculate "distance" between two regimes |
removeAllConstraints |
Transform constrainted and restricted parameter vector into the regular form |
residuals.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
simulateGMAR |
simulateGMAR is deprecated |
simulateGSMAR |
Simulate values from GMAR, StMAR or G-StMAR process |
smartIndividual |
Create somewhat random GMAR, StMAR or G-StMAR model compatible parameter vector |
smartIndividual_int |
Create random GMAR, StMAR or G-StMAR model compatible parameter vector |
sortComponents |
Sort the mixture components of GMAR, StMAR or G-StMAR model |
standardErrors |
Calculate standard errors for estimates of GMAR, StMAR or GStMAR model |
summary.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
swap_parametrization |
Swap the parametrization of object of class 'gsmar' defining a gsmar model |
VIX |
CBOE Volatility Index: VIX |