Description

Class for the ARFIMA filter.

Slots

filter:

Object of class "vector"

model:

Object of class "vector"

Extends

Class "ARFIMA", directly. Class "rGARCH", by class "ARFIMA", distance 2.

Methods

coef

signature(object = "ARFIMAfilter"): Extracts the coefficients.

fitted

signature(object = "ARFIMAfilter"): Extracts the filtered values.

infocriteria

signature(object = "ARFIMAfilter"): Calculates and returns various information criteria.

likelihood

signature(object = "ARFIMAfilter"): Extracts the likelihood.

residuals

signature(object = "ARFIMAfilter"): Extracts the residuals. Optional logical argument standardize (default is FALSE) allows to extract the standardized residuals.

show

signature(object = "ARFIMAfilter"): Filter summary.

uncmean

signature(object = "ARFIMAfilter"): Calculates and returns the unconditional mean. Takes additional arguments ‘method’ with option for “analytical” or “simulation”, ‘n.sim’ for the number of simulations (if that method was chosen, and defaults to 100000) and ‘rseed’ for the simulation random generator initialization seed. Note that the simulation method is only available for a fitted object or specification with fixed parameters, and not for the filtered object.

Author(s)

Alexios Ghalanos

Examples