Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model


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Documentation for package ‘uGMAR’ version 3.2.4

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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