Class for the multivariate GAS rolling object.
A virtual Class: No objects may be created from it.
Forecast:Object of class list. Contains forecasts:
PointForecast: matrix with parameters forecasts.
Moments: list with centered moments forecasts. The first element
contains a matrix with the predicted conditional means. The second element contains
an array with the predicted conditional covariances.
vLS: numeric Log Score (Predictive Log Likelihood).
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Info:list with forecast information.
Data:list with original data.
show signature(object = 'mGASRoll'): Show summary.
plot signature(x = 'mGASRoll',y = 'missing'): Plot forecasted quantities.
getForecast signature(object = 'mGASRoll'): Extract parameters forecast.
getObs signature(object = 'mGASRoll'): Extract original observations.
getMoments signature(object = 'mGASRoll'): Extract moments forecasts.
LogScore signature(object = 'mGASRoll'): Extract Log Scores.
residuals signature(object = 'mGASRoll'): Extract the forecast errors.
Also accepts the additional logical argument standardize. If standardize = TRUE,
forecast errors are standardized by cholesky of the forecast covariance matrix. By default standardize = FALSE.
coef signature(object = 'mGASFit'): Returns a matrix of estimated coefficients.
Each row of the matrix corresponds to a refit of the model during the forecast period according to the
RefitEvery argument provided in the MultiGASRoll function.
Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients
are organized in a list of lists according according to the RefitEvery argument provided
in the MultiGASRoll function. Each list is populated by three arguments:
vKappa the intercept vector, mA the A system matrix, mB the B system matrix.
By default, do.list = FALSE.
Leopoldo Catania