Class for the univariate 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: matrix with centered moments forecasts.
vLS: numeric Log Score (Predictive Log Likelihood).
vU: numeric Out-of-sample Probability Integral Transformation (PIT).
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Info:list with forecast information.
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Data:list with original data.
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Testing:Statistical tests results.
show signature(object = 'uGASRoll'): Show summary.
plot signature(x = 'uGASRoll', y = 'missing'): Plot forecasted quantities.
getForecast signature(object = 'uGASRoll'): Extract parameters forecast.
getObs signature(object = 'uGASRoll'): Extract original observations.
pit signature(object = 'uGASRoll'): Extract Probability Integral Transformation,
only if Roll = TRUE
quantile signature(object = 'uGASRoll'): Extract quantile forecasts.
It accepts the addional argument probs representing the vector of probabilities.
ES signature(object = 'uGASRoll'): Extract Expected Shortfall forecasts.
It accepts the addional argument probs representing the vector of probabilities.
getMoments signature(object = 'uGASRoll'): Extract moments forecasts.
LogScore signature(object = 'uGASRoll'): Extract Log Scores.
residuals signature(object = 'uGASRoll'): Extract the forecast errors.
Also accepts the additional logical argument standardize. If standardize = TRUE,
forecast errors are standardized by the forecast standard deviation. By default standardize = FALSE.
coef signature(object = 'uGASFit'): 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 UniGASRoll 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 UniGASRoll 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