distr_fisher

A function computing Fisher information, its inverse, or its inverse square root for a given distribution.

Estimation, forecasting, and simulation of generalized
autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013)
<doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>.
Model specification allows for various data types and distributions,
different parametrizations, exogenous variables, joint and separate modeling
of exogenous variables and dynamics, higher score and autoregressive orders,
custom and unconditional initial values of time-varying parameters, fixed
and bounded values of coefficients, and missing values. Model estimation is
performed by the maximum likelihood method.

Vladimír Holý

gasmodel

Generalized Autoregressive Score Models

distr_fisher function

<dl><dt>f</dt>
<dd>Parameters. For the same parameters for all observations, a numeric vector. For individual parameters for each observation, a numeric matrix with rows corresponding to observations.</dd>
<dt>distr</dt>
<dd>A distribution.</dd>
<dt>param</dt>
<dd>A parametrization of the distribution.</dd>
<dt>par_link</dt>
<dd>An optional logical vector indicating whether the logarithmic/logistic link should be applied to restricted parameters in order to obtain unrestricted values. Defaults to keeping the original link for all parameters.</dd>
<dt>trans</dt>
<dd>An optional transformation of the Fisher information. The supported transformations are the inverse of the Fisher information (<code>trans = "inv"</code>) and the inverse square root of the Fisher information (<code>trans = "inv_sqrt"</code>).</dd></dl>

Arguments

Compute Fisher Information — distr_fisher

<dl>

<dt>f</dt>
<dd>Parameters. For the same parameters for all observations, a numeric vector. For individual parameters for each observation, a numeric matrix with rows corresponding to observations.</dd>


<dt>distr</dt>
<dd>A distribution.</dd>


<dt>param</dt>
<dd>A parametrization of the distribution.</dd>


<dt>par_link</dt>
<dd>An optional logical vector indicating whether the logarithmic/logistic link should be applied to restricted parameters in order to obtain unrestricted values. Defaults to keeping the original link for all parameters.</dd>


<dt>trans</dt>
<dd>An optional transformation of the Fisher information. The supported transformations are the inverse of the Fisher information (<code>trans = "inv"</code>) and the inverse square root of the Fisher information (<code>trans = "inv_sqrt"</code>).</dd>

</dl>

distr_fisher: Compute Fisher Information

Description

Usage

Value

Arguments

See Also

Examples