Returns a single row data.frame, with the following columns:
robustTRUE
if robust estimation was used.
nuIf robust
is TRUE
, then this is the degrees-of-freedom parameter
used in the t-distribution for the robust estimation.
opt_methodThe optimization method that was used for finding these parameters.
nLength of the vector that was fit to the PAR model
rhoEstimate of the coefficient of mean reversion
sigma_MEstimate of the standard deviation of the innovations of
the transient (mean-reverting) component.
sigma_REstimate of the standard deviation of the innovations of
the permanent (random walk) component.
M0Estimate of the initial value of the transient component.
R0Estimate of the initial value of the permanent component.
rho.seStandard error of the estimate of rho
.
sigma_M.seStandard error of the estimate of sigma_M
.
sigma_R.seStandard error of the estimate of sigma_R
.
M0.seStandard error of the estimate of M0
.
R0.seStandard error of the estimate of R0
.
lambdaValue of the penalty factor lambda that was used in computing the estimates.
pvmrProportion of variance attributable to mean reversion.
negloglikNegative log-likelihood of the model given these parameters.