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 stricly positive natural numbers |
alt_gsmar |
Construct a GSMAR model based on results from an arbitrary estimation round of 'fitGSMAR' |
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 a parameter vector |
checkAndCorrectData |
Check that the data is set correctly and correct if not |
checkConstraintMat |
Check the constraint matrices |
checkPM |
Check that 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 |
condMoments |
Calculate conditional moments of GMAR, StMAR, or G-StMAR model |
diagnosticPlot |
Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models |
extractRegime |
Extract regime from a parameter vector |
fitGSMAR |
Estimate Gaussian or Student's t Mixture Autoregressive model |
format_valuef |
Function factory for formatting values |
GAfit |
Genetic algorithm for preliminary estimation of GMAR, StMAR, or G-StMAR model |
getOmega |
Generate the covariance matrix Omega for quantile residual tests |
get_ar_roots |
Calculate absolute values of the roots of the AR characteristic polynomials |
get_foc |
Calculate gradient or Hessian matrix |
get_gradient |
Calculate gradient or Hessian matrix |
get_hessian |
Calculate gradient or Hessian matrix |
get_IC |
Calculate AIC, HQIC and BIC |
get_minval |
Returns the default smallest allowed log-likelihood for given data. |
get_regime_autocovs |
Calculate regime specific autocovariances *gamma*_{m,p} |
get_regime_means |
Calculate regime specific means mu_{m} |
get_regime_vars |
Calculate regime specific variances gamma_{m,0} |
get_soc |
Calculate gradient or Hessian matrix |
get_varying_h |
Get differences 'h' which are adjusted for overly large degrees of freedom parameters |
GSMAR |
Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model |
isIdentifiable |
Check the stationarity 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 stationarity 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 |
logVIX |
CBOE Volatility Index: logVIX |
mixingWeights |
Calculate mixing weights of GMAR, StMAR or G-StMAR model |
mixingWeights_int |
Calculate mixing weights of a 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 a parameter vector |
pick_pars |
Pick phi_0 (or mu), AR-coefficients, and variance parameters from a 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 , and G-StMAR models |
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 , and G-StMAR models |
profile_logliks |
Plot profile log-likehoods around the estimates |
quantileResidualPlot |
Plot quantile residual time series and histogram |
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 , and G-StMAR models |
randomIndividual |
Create random GMAR, StMAR, or G-StMAR model compatible parameter vector |
randomIndividual_int |
Create random GMAR, StMAR, or G-StMAR model compatible parameter vector |
random_arcoefs |
Create random AR coefficients |
random_regime |
Create random regime parameters |
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 constrained and restricted parameter vector into the regular form |
residuals.gsmar |
Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model |
simulateGSMAR |
Simulate values from GMAR, StMAR, and G-StMAR processes |
smartIndividual |
Create 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 a GMAR, StMAR, or G-StMAR model |
standardErrors |
Calculate standard errors for estimates of a GMAR, StMAR, or GStMAR model |
stmarpars_to_gstmar |
Transform a StMAR model parameter vector to a corresponding G-StMAR model parameter vector with large dfs parameters reduced. |
stmar_to_gstmar |
Estimate a G-StMAR model based on a StMAR model with large degrees of freedom parameters |
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 GMAR, StMAR, or G-StMAR model |
T10Y1Y |
Spread between 10-Year and 1-Year treasury rates: T10Y1Y |
uGMAR |
uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models |
uncondMoments |
Calculate unconditional mean, variance, first p autocovariances and autocorrelations of the GSMAR process. |
uncondMoments_int |
Calculate unconditional mean, variance, and the first p autocovariances and autocorrelations of a GSMAR process. |
VIX |
CBOE Volatility Index: VIX |
warn_dfs |
Warn about large degrees of freedom parameter values |