Estimate Gaussian Mixture Vector Autoregressive Model


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Documentation for package ‘gmvarkit’ version 1.1.3

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add_data Add data to an object of class 'gmvar' defining a GMVAR model
all_pos_ints Check whether all arguments are positive integers
alt_gmvar Construct a GMVAR model based on results from an arbitrary estimation round of 'fitGMVAR'
calc_gradient Calculate gradient or Hessian matrix
calc_hessian Calculate gradient or Hessian matrix
change_parametrization Change parametrization of a parameter vector
change_regime Change regime parameters *upsilon_{m}* = (phi_{m,0},*phi_{m}*,sigma_{m}) of the given parameter vector
check_constraints Check the constraint matrix has the correct form
check_data Check the data is in the correct form
check_gmvar Checks whether the given object has class attribute "gmvar"
check_null_data Checks whether the given object contains data
check_parameters Check that the given parameter vector satisfies the model assumptions
check_pMd Check that p, M, and d are correctly set
cond_moments Compute conditional moments of a GMVAR model
diagnostic_plot Quantile residual diagnostic plot for a GMVAR model
dlogmultinorm Calculate logarithms of multiple multivariate normal densities with varying mean and constant covariance matrix
eurusd Euro area and U.S. long-term government bond yields and Euro-U.S. dollar exchange rate.
fitGMVAR Two-phase maximum likelihood estimation of a GMVAR model
format_valuef Function factory for value formatting
form_boldA Form the ((dp)x(dp)) "bold A" matrices related to the VAR processes
GAfit Genetic algorithm for preliminary estimation of a GMVAR model
get_boldA_eigens Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients
get_foc Calculate gradient or Hessian matrix
get_gradient Calculate gradient or Hessian matrix
get_hessian Calculate gradient or Hessian matrix
get_IC Calculate AIC, HQIC, and BIC
get_minval Returns the default smallest allowed log-likelihood for given data.
get_omega_eigens Calculate the eigenvalues of the "Omega" error term covariance matrices
get_regime_autocovs Calculate regimewise autocovariance matrices
get_regime_autocovs_int Calculate regimewise autocovariance matrices
get_regime_means Calculate regime means mu_{m}
get_regime_means_int Calculate regime means mu_{m}
get_soc Calculate gradient or Hessian matrix
get_test_Omega Compute covariance matrix Omega used in quantile residual tests
GMVAR Create a class 'gmvar' object defining a GMVAR model
gmvarkit gmvarkit: Estimate Gaussian Mixture Vector Autoregressive (GMVAR) model
in_paramspace Determine whether the parameter vector lies in the parameter space
in_paramspace_int Determine whether the parameter vector lies in the parameter space
is_stationary Check the stationary condition of a given GMVAR model
iterate_more Maximum likelihood estimation of a GMVAR model with preliminary estimates
logLik.gmvar Create a class 'gmvar' object defining a GMVAR model
loglikelihood Compute log-likelihood of a GMVAR model using parameter vector
loglikelihood_int Compute log-likelihood of a Gaussian Mixture Vector Autoregressive model
n_params Calculate the number of parameters in GMVAR model parameter vector
pick_allA Pick coefficient all matrices
pick_all_phi0_A Pick all phi_{m,0} or mu_{m} and A_{m} parameter values
pick_alphas Pick mixing weight parameters alpha_{m}, m=1,...,M
pick_Am Pick coefficient matrices
pick_Ami Pick coefficient matrix
pick_Omegas Pick covariance matrices
pick_phi0 Pick phi_{m,0} or mu_{m}, m=1,..,M vectors
pick_regime Pick regime parameters *upsilon_{m}* = (phi_{m,0},*phi_{m}*,sigma_{m})
plot.gmvar Create a class 'gmvar' object defining a GMVAR model
plot.gmvarpred plot method for class 'gmvarpred' objects
plot.qrtest Quantile residual tests
predict.gmvar Predict method for class 'gmvar' objects
print.gmvar Create a class 'gmvar' object defining a GMVAR model
print.gmvarpred Print method for class 'gmvarpred' objects
print.gmvarsum Summary print method from objects of class 'gmvarsum'
print.qrtest Quantile residual tests
print_std_errors Print standard errors of GMVAR model in the same form as the model estimates are printed
profile_logliks Plot profile log-likehoods around the estimates
quantile_residuals Calculate multivariate quantile residuals of GMVAR model
quantile_residuals_int Calculate multivariate quantile residuals of GMVAR model
quantile_residual_tests Quantile residual tests
random_coefmats Create random VAR-model (dxd) coefficient matrices A.
random_coefmats2 Create random stationary VAR model (dxd) coefficient matrices A.
random_covmat Create random VAR model error term covariance matrix
random_ind Create random mean-parametrized parameter vector of a GMVAR model that may not be stationary
random_ind2 Create somewhat random parameter vector of a GMVAR model that is always stationary
reform_constrained_pars Reform constrained parameter vector into the "standard" form
reform_data Reform data
regime_distance Calculate "distance" between two (scaled) regimes *upsilon_{m}* = (phi_{m,0},*phi_{m}*,sigma_{m})
residuals.gmvar Create a class 'gmvar' object defining a GMVAR model
simulateGMVAR Simulate from GMVAR process
smart_covmat Create random VAR-model (dxd) error term covariance matrix Omega fairly close to a given *positive definite* covariance matrix using (scaled) Wishart distribution
smart_ind Create random parameter vector of a GMVAR model fairly close to a given parameter vector
sort_components Sort components in parameter vector according to mixing weights into a decreasing order
standard_errors Calculate standard errors for estimates of GMVAR model
summary.gmvar Create a class 'gmvar' object defining a GMVAR model
swap_parametrization Swap the parametrization of a GMVAR model
uncond_moments Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR process
uncond_moments_int Calculate the unconditional mean, variance, the first p autocovariances, and the first p autocorrelations of a GMVAR process
unvec Reverse vectorization operator
unvech Reverse operator of the parsimonious vectorization operator 'vech'
vec Vectorization operator
vech Parsimonious vectorization operator for symmetric matrices