Package: starvars 1.1.10
Andrea Bucci
starvars: Vector Logistic Smooth Transition Models Estimation and Prediction
Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).
Authors:
starvars_1.1.10.tar.gz
starvars_1.1.10.zip(r-4.7)starvars_1.1.10.zip(r-4.6)starvars_1.1.10.zip(r-4.5)
starvars_1.1.10.tgz(r-4.6-any)starvars_1.1.10.tgz(r-4.5-any)
starvars_1.1.10.tar.gz(r-4.7-any)starvars_1.1.10.tar.gz(r-4.6-any)
starvars_1.1.10.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
starvars/json (API)
| # Install 'starvars' in R: |
| install.packages('starvars', repos = c('https://andbucci.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/andbucci/starvars/issues
- Realized - Monthly time series used to test VLSTAR models.
- Sample5minutes - Ten simulated prices series for 19 trading days in January 2010.
- techprices - Daily closing prices of 3 tech stocks.
Last updated from:c4b8fcb3bc. Checks:7 NOTE, 2 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | NOTE | 189 | ||
| source / vignettes | OK | 227 | ||
| linux-release-x86_64 | NOTE | 186 | ||
| macos-release-arm64 | NOTE | 226 | ||
| macos-oldrel-arm64 | NOTE | 264 | ||
| windows-devel | NOTE | 134 | ||
| windows-release | NOTE | 158 | ||
| windows-oldrel | NOTE | 140 | ||
| wasm-release | OK | 150 |
Exports:logLik.VLSTARlrvarbartmultiCUMSUMrcovstartingVLSTARVLSTARVLSTARjoint
Dependencies:askpassbase64encbslibcachemclicodetoolscolorspacecommonmarkconflictedcpp11crosstalkcurldata.tabledeldirDEoptimRdigestdoSNOWdplyrellipseevaluatefarverfastmapFNNfontawesomeforeachfsgenericsggplot2gluegtablehighrhtmltoolshtmlwidgetshttpuvhttrinterpisobanditeratorsjpegjquerylibjsonlitekableExtrakernlabKernSmoothknitrkslabelinglaterlatticelatticeExtralazyevalleapslessRlifecyclelmtestmagrittrMASSMatrixmatrixcalcmclustmemoisemgcvmimemulticoolmvtnormnlmeopensslopenxlsxoptimParallelotelpillarpkgconfigplotlypngpracmapromisespurrrquantmodR6rappdirsRColorBrewerRcppRcppEigenrlangrmarkdownrobustbaserstudioapiS7sandwichsassscalesshinysnowsourcetoolsstringistringrstrucchangesvglitesyssystemfontstextshapingtibbletidyrtidyselecttinytexTTRurcautf8varsvctrsviridisLitewithrxfunxml2xtablextsyamlzipzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Coefficient method for objects of class VLSTAR | coef coef.VLSTAR coefficients |
| Log-Likelihood method | logLik logLik.VLSTAR |
| Long-run variance using Bartlett kernel | lrvarbart |
| Multivariate CUMSUM test | multiCUMSUM print.multiCUMSUM |
| Plot methods for a VLSTAR object | plot.VLSTAR |
| Plot methods for a vlstarpred object | plot.vlstarpred |
| VLSTAR Prediction | predict predict.VLSTAR print.vlstarpred |
| Print method for objects of class VLSTAR | print print.VLSTAR |
| Realized Covariance | rcov |
| Monthly time series used to test VLSTAR models. | Realized |
| Ten simulated prices series for 19 trading days in January 2010. | Sample5minutes |
| Starting parameters for a VLSTAR model | startingVLSTAR |
| Summary method for objects of class VLSTAR | print.summary print.summary.VLSTAR summary summary.VLSTAR |
| Daily closing prices of 3 tech stocks. | techprices |
| VLSTAR- Estimation | VLSTAR |
| Joint linearity test | print.VLSTARjoint VLSTARjoint |