Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model


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Documentation for package ‘uGMAR’ version 3.0.1

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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
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