wrappers_optim

wrapper_optim_stats

wrapper_optim_nloptr

Wrappers of common R optimization functions.
Their purpose is to be passed as the <code>optim_function</code> argument in the <code>gas()</code> function.

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

wrappers_optim function

<dl><dt>obj_fun</dt>
<dd>An objective function.</dd>
<dt>theta_start</dt>
<dd>A numeric vector of starting values of the variables.</dd>
<dt>theta_bound_lower</dt>
<dd>A numeric vector of lower bounds on the variables.</dd>
<dt>theta_bound_upper</dt>
<dd>A numeric vector of upper bounds on the variables.</dd>
<dt>est_details</dt>
<dd>A list of variables used for estimation.</dd>
<dt>...</dt>
<dd>Additional arguments to be passed to the optimization function.</dd></dl>

Arguments

<ul>
<li><code>wrapper_optim_stats()</code>: Wrapper for optimization function <code><a href="/link/stats%3A%3Aoptim()?package=gasmodel&version=0.6.2" data-mini-rdoc="gasmodel::stats::optim()">stats::optim()</a></code>.</li>
<li><code>wrapper_optim_nloptr()</code>: Wrapper for optimization function <code><a href="/link/nloptr%3A%3Anloptr()?package=gasmodel&version=0.6.2" data-mini-rdoc="gasmodel::nloptr::nloptr()">nloptr::nloptr()</a></code>.</li>
</ul>

Functions

Wrappers for Optimization Functions — wrappers_optim

<dl>

<dt>obj_fun</dt>
<dd>An objective function.</dd>


<dt>theta_start</dt>
<dd>A numeric vector of starting values of the variables.</dd>


<dt>theta_bound_lower</dt>
<dd>A numeric vector of lower bounds on the variables.</dd>


<dt>theta_bound_upper</dt>
<dd>A numeric vector of upper bounds on the variables.</dd>


<dt>est_details</dt>
<dd>A list of variables used for estimation.</dd>


<dt>...</dt>
<dd>Additional arguments to be passed to the optimization function.</dd>

</dl>

<ul>
<li><code>wrapper_optim_stats()</code>: Wrapper for optimization function <code><a href='https://rdrr.io/r/stats/optim.html'>stats::optim()</a></code>.</li>
<li><code>wrapper_optim_nloptr()</code>: Wrapper for optimization function <code><a href='https://rdrr.io/pkg/nloptr/man/nloptr.html'>nloptr::nloptr()</a></code>.</li>
</ul>

wrappers_optim: Wrappers for Optimization Functions

Description

Usage

Value

Arguments

Functions

See Also