class: ARFIMA Filter Class

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

as.data.frame

signature(x = "ARFIMAfilter"): Extracts the position (dates), data, filtered values and residuals.

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.

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

showClass("ARFIMAfilter")