distr_score

A function computing score or scaled score 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_score function

<dl><dt>y</dt>
<dd>Observations. For an univariate distribution, a numeric vector. For a multivariate distribution, a numeric matrix with observations in rows or a numeric vector of a single observation.</dd>
<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>scaling</dt>
<dd>An optional scaling function for the score. The supported scaling functions are the unit scaling (<code>scaling = "unit"</code>), the inverse of the Fisher information matrix scaling (<code>scaling = "fisher_inv"</code>), and the inverse square root of the Fisher information matrix scaling (<code>scaling = "fisher_inv_sqrt"</code>).</dd></dl>

Arguments

Compute Score — distr_score

<dl>

<dt>y</dt>
<dd>Observations. For an univariate distribution, a numeric vector. For a multivariate distribution, a numeric matrix with observations in rows or a numeric vector of a single observation.</dd>


<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>scaling</dt>
<dd>An optional scaling function for the score. The supported scaling functions are the unit scaling (<code>scaling = "unit"</code>), the inverse of the Fisher information matrix scaling (<code>scaling = "fisher_inv"</code>), and the inverse square root of the Fisher information matrix scaling (<code>scaling = "fisher_inv_sqrt"</code>).</dd>

</dl>

distr_score: Compute Score

Description

Usage

Value

Arguments

See Also

Examples