dm {dynamo} | R Documentation |
'dm' is used to fit dynamic models. It can be used to estimate several univariate dynamic models including ARMA, GARCH, ARMA-GARCH, ACD and MEM.
dm(formula,innovations=NULL,data=parent.frame(),est='mle',maxiter=NULL,param=NULL,ftol=NULL,log='none')
formula |
a dynamo symbolic description of the model to be simulated. |
innovations |
the family of distributions of model innovations. |
data |
data frame with exogenous data. |
est |
estimation method. |
maxiter |
max iter. |
param |
dynamic model parameters. |
ftol |
tollerance. |
log |
log level. |
'dm' returns an object of 'class' '"dm"'.
An object of class '"dm"' is a list containg:
coefficients |
fitted parameters. |
Christian T. Brownlees
# AR(1) GARCH(1,1) # simulate data #y <- rdm( y~0+ar(1)+garch(1,1) , innovations='st' , 1000 , param=c(0.2,0.2,0.1,0.8,0.1) ) # estimate #ar1garch11 <- dm( y~0+ar(1)+garch(1,1) , innovations='st' ) # view estimation results #summary( ar1garch11 ) # ACD(1,1) # simulate data #y <- rdm( y~acd(1,1), 1000 , param=c(0.1,0.8,0.1,20.0) ) # estimate #acd11 <- dm( y~acd(1,1) ) # view estimation results #summary( acd11 ) 1+1