R Graphical Manual

Last data update: 2014.03.03

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Results 1 - 10 of 13 found.
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info.criterion (Package: AutoSEARCH) : Computes the Value of an Information Criterion

Given a log-likelihood, the number of observations and the number of estimated parameters, the value of a chosen information criterion is computed

● Data Source: CranContrib
● Keywords: Statistical Models
● Alias: info.criterion
● 0 images

regs.vol.sm (Package: AutoSEARCH) : Create the regressors of a log-ARCH-X model

Creates the regressors of a log-ARCH-X model, see sm and gets.vol

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: regs.vol.sm
● 0 images

eqwma (Package: AutoSEARCH) : Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values

The function eqwma returns an Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values lagged. Optionally, the absolute values are computed before averaging, and the log of is returned. The function leqwma is essentially a wrapper to eqwma in which the absolute values are used and the logarithm is applied.

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: eqwma, leqwma
● 0 images

jb.test (Package: AutoSEARCH) : Jarque-Bera test for normality

Jarque-Bera test for normality

● Data Source: CranContrib
● Keywords: Statistical Models
● Alias: jb.test
● 0 images

gedestp (Package: AutoSEARCH) : Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED)

gedestp and gedlogl are auxiliary functions called by gets.mean and gets.vol.

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: gedestp, gedlogl
● 0 images

skewness.test (Package: AutoSEARCH) : Chi-squared test for skewness in the standardised residuals

Chi-squared test for skewness in the standardised residuals

● Data Source: CranContrib
● Keywords: Statistical Models
● Alias: skewness.test
● 0 images

gLag (Package: AutoSEARCH) :

A wrapper to the glag function in the lgarch package.

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: gLag
● 0 images

ols.fit1 (Package: AutoSEARCH) :

ols.fit1 and ols.fit2 are auxiliary functions called by sm, gets.mean and gets.vol. The ols.fit2 function returns slightly more information than ols.fit1, which makes the latter faster. However, variance-covariance are to be needed in a second step, then ols.fit2 is faster due to the additional information provided by it.

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: ols.fit1, ols.fit2
● 0 images

AutoSEARCH-package (Package: AutoSEARCH) : General-to-Specific (GETS) Modelling

GETS modelling of the mean and variance of a regression.

● Data Source: CranContrib
● Keywords:
● Alias: AutoSEARCH, AutoSEARCH-package
● 0 images

gets.mean (Package: AutoSEARCH) : General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors

The starting model is referred to as the General Unrestricted Model (GUM). The gets.mean function undertakes multi-path GETS model selection of the mean specification, whereas gets.vol does the same for the log-variance specification.

● Data Source: CranContrib
● Keywords: Financial Econometrics, Statistical Models, Time Series
● Alias: gets.mean, gets.vol
● 0 images