R: Class for Estimation of COGARCH(p,q) model with underlying...
cogarch.est.incr-class
R Documentation
Class for Estimation of COGARCH(p,q) model with underlying increments
Description
The cogarch.est.incr class is a class of the yuima package that extends the cogarch.est-class and is filled by the function gmm or qmle.
Slots
Incr.Lev:
is an object of class zoo that contains the estimated increments of the noise obtained using cogarchNoise.
yuima:
is an object of of yuima-class.
logL.Incr:
is an object of class numeric that contains the value of the log-likelihood for estimated Levy increments.
objFun:
is an object of class character that indicates the objective function used in the minimization problem. See the documentation of the function gmm or qmle for more details.
call:
is an object of class language.
coef:
is an object of class numeric that contains estimated parameters.
fullcoef:
is an object of class numeric that contains estimated and fixed parameters.
vcov:
is an object of class matrix.
min:
is an object of class numeric.
minuslogl:
is an object of class function.
method:
is an object of class character.
Methods
simulate
simulation method. For more information see simulate.