distr_random

A function generating random observations from 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_random function

<dl><dt>t</dt>
<dd>A number of generated observations.</dd>
<dt>f</dt>
<dd>A numeric vector of parameters. The same parameters are used for each generated observation.</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></dl>

Arguments

Generate Random Observations — distr_random

<dl>

<dt>t</dt>
<dd>A number of generated observations.</dd>


<dt>f</dt>
<dd>A numeric vector of parameters. The same parameters are used for each generated observation.</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>

</dl>

distr_random: Generate Random Observations

Description

Usage

Value

Arguments

See Also

Examples