changeRegime |
Change the specified regime of parameter vector to the given regime-parameter vector |
checkAndCorrectData |
Check the data is set correctly and correct if not |
checkConstraintMat |
Check constraint matrices R |
checkPM |
Check p and M are correctly set |
extractRegime |
Extract regime from a parameter vector |
fitGMAR |
Estimate Gaussian or Student's t Mixture Autoregressive model |
forecastGMAR |
Forecast GMAR pr StMAR process |
GAfit |
Genetic algorithm for preliminary estimation of GMAR or StMAR model |
getOmega |
Generate covariance matrix omega for quantile residual tests |
isIdentifiable |
Check the stationary and identification conditions of specified GMAR or StMAR model. |
isStationary |
Check the stationary condition of specified GMAR or StMAR model. |
isStationary_int |
Check the stationary and identification conditions of specified GMAR or StMAR model. |
loglikelihood |
Compute the log-likelihood of Gaussian or Student's t Mixture Autoregressive model |
loglikelihood_int |
Compute the log-likelihood of Gaussian or Student's t Mixture Autoregressive model |
mixingWeights |
Calculate mixing weights of GMAR or StMAR model |
mixingWeights_int |
Calculate mixing weights of GMAR or StMAR model |
nParams |
Calculate the number of parameters |
parameterChecks |
Check the parameter vector is specified correctly |
plotGMAR |
Quantile residual based diagnostic plots for GMAR or StMAR model |
quantileResiduals |
Compute quantile residuals of GMAR or StMAR model |
quantileResiduals_int |
Compute quantile residuals of GMAR or StMAR model |
quantileResidualTests |
Quantile residual tests for GMAR or StMAR model |
randomIndividual |
Create somewhat random GMAR or StMAR model compatible parameter vector |
randomIndividual_int |
Create random GMAR or StMAR model compatible parameter vector |
reformConstrainedPars |
Reform parameter vector with linear constraints to correspond non-constrained parameter vector. |
reformParameters |
Reform any parameter vector into standard form. |
simulateGMAR |
Simulate GMAR or StMAR process |
smartIndividual |
Create somewhat random GMAR or StMAR model compatible parameter vector |
smartIndividual_int |
Create random GMAR or StMAR model compatible parameter vector |
sortComponents |
Sort the mixture components of GMAR or StMAR model |
standardErrors |
Calculate standard errors for estimates of GMAR or StMAR model |
VIX |
CBOE Volatility Index: VIX |