Polynomial Maximization Method for Non-Gaussian Regression

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Documentation for package ‘EstemPMM’ version 0.4.0

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A B C D F G L M N P R S T V

-- A --

ARIMAPMM2-class S4 class for storing PMM2 ARIMA model results
ARIMAPMM3-class S4 class for PMM3 ARIMA model results
arima_pmm2 Fit an ARIMA model using PMM2 (wrapper)
arima_pmm3 Fit an ARIMA model using PMM3
ARMAPMM2-class S4 class for storing PMM2 ARMA model results
ARMAPMM3-class S4 class for PMM3 ARMA model results
arma_pmm2 Fit an ARMA model using PMM2 (wrapper)
arma_pmm3 Fit an ARMA model using PMM3
ARPMM2-class S4 class for storing PMM2 AR model results
ARPMM3-class S4 class for PMM3 AR model results
ar_pmm2 Fit an AR model using PMM2 (wrapper)
ar_pmm3 Fit an AR model using PMM3
auto_mpg Auto MPG Dataset

-- B --

BasePMM2-class Virtual S4 class for the PMM2 model family
BasePMM3-class Virtual S4 class for the PMM3 model family

-- C --

coef-method Extract coefficients from PMM2fit object
coef-method Extract coefficients from PMM3fit object
coef-method Extract coefficients from SARPMM2 object
coef-method Extract coefficients from SMAPMM2 object
coef-method Extract coefficients from TS2fit object
coef-method Extract coefficients from TS3fit object
compare_arima_methods Compare ARIMA methods
compare_arma_methods Compare ARMA methods
compare_ar_methods Compare AR methods
compare_ma_methods Compare MA methods
compare_sar_methods Compare SAR model estimation methods
compare_ts_methods Compare PMM2 with classical time series estimation methods
compare_with_ols Compare PMM2 with OLS
compute_moments Calculate moments and cumulants of error distribution
compute_moments_pmm3 Compute central moments for PMM3 from residuals
compute_pmm2_components Compute PMM2 weights and components
confint-method Confidence intervals for PMM2fit coefficients
confint-method Confidence intervals for PMM3fit coefficients
confint-method Confidence intervals for TS2fit AR model coefficients
confint-method Confidence intervals for TS3fit AR model coefficients
create_sarma_matrix Create design matrix for seasonal ARMA model
create_sar_matrix Create design matrix for seasonal AR model

-- D --

DCOILWTICO WTI Crude Oil Prices
djia2002 Dow Jones Industrial Average Daily Data (July-December 2002)

-- F --

fitted-method Extract fitted values from PMM2fit object
fitted-method Extract fitted values from PMM3fit object
fitted-method Extract fitted values from TS2fit object
fitted-method Extract fitted values from TS3fit object
format.PMMdispatch Format method for PMMdispatch objects

-- G --

get_sarimax_jacobian Calculate SARIMAX Jacobian (Numerical)
get_sarimax_residuals Calculate SARIMAX Residuals

-- L --

lm_pmm2 PMM2: Main function for PMM2 (S=2)
lm_pmm3 PMM3: Fit linear model using Polynomial Maximization Method (S=3)
logLik.PMM2fit Extract log-likelihood from PMM2fit object
logLik.PMM3fit Extract log-likelihood from PMM3fit object
logLik.TS2fit Extract log-likelihood from TS2fit object
logLik.TS3fit Extract log-likelihood from TS3fit object

-- M --

MAPMM2-class S4 class for storing PMM2 MA model results
MAPMM3-class S4 class for PMM3 MA model results
ma_pmm2 Fit an MA model using PMM2 (wrapper)
ma_pmm3 Fit an MA model using PMM3

-- N --

nobs-method Number of observations in PMM2fit object
nobs-method Number of observations in PMM3fit object
nobs-method Number of observations in TS2fit object
nobs-method Number of observations in TS3fit object

-- P --

plot-method Plot diagnostic plots for PMM2fit object
plot-method Plot diagnostic plots for PMM3fit object
plot-method Build diagnostic plots for TS2fit objects
plot-method Plot diagnostic plots for TS3fit object
plot_pmm2_bootstrap Plot bootstrap distributions for PMM2 fit
PMM2fit-class S4 class for storing PMM2 regression model results
pmm2_inference Bootstrap inference for PMM2 fit
pmm2_monte_carlo_compare Monte Carlo comparison of PMM2 estimation methods
pmm2_nonlinear_iterative Universal PMM2 estimator (Iterative)
pmm2_nonlinear_onestep Universal PMM2 estimator (One-step Global)
pmm2_variance_factor Calculate theoretical skewness, kurtosis coefficients and variance reduction factor
pmm2_variance_matrices Calculate theoretical variance matrices for OLS and PMM2
PMM3fit-class S4 class for PMM3 regression fit results
pmm3_variance_factor Calculate PMM3 theoretical variance reduction factor
pmm3_variance_matrices Calculate theoretical variance matrices for OLS and PMM3
PMMfit-class Virtual root S4 class for PMM fit objects
PMMtsfit-class Virtual S4 class for PMM time-series fit objects
pmm_ar Fit an AR model with the polynomial maximization method
pmm_arima Fit an ARIMA model with the polynomial maximization method
pmm_arma Fit an ARMA model with the polynomial maximization method
pmm_dispatch Automatic PMM method selection
pmm_gamma6 Compute sixth-order cumulant coefficient gamma6
pmm_kurtosis Calculate kurtosis from data
pmm_lm Fit a linear model with the polynomial maximization method
pmm_ma Fit an MA model with the polynomial maximization method
pmm_sarima Fit a seasonal ARIMA model with the polynomial maximization method
pmm_skewness Calculate skewness from data
predict-method Prediction method for PMM2fit objects
predict-method Predict method for PMM3fit objects
predict-method Prediction method for TS2fit objects
predict-method Predict method for TS3fit objects
print.PMMdispatch Print method for PMMdispatch objects

-- R --

residuals-method Extract residuals from PMM2fit object
residuals-method Extract residuals from PMM3fit object
residuals-method Extract residuals from TS2fit object
residuals-method Extract residuals from TS3fit object

-- S --

SARIMAPMM2-class S4 class for Seasonal ARIMA model results with PMM2
sarima_pmm2 Fit a Seasonal ARIMA model using PMM2 method
SARMAPMM2-class S4 class for Seasonal ARMA model results with PMM2
sarma_pmm2 Fit a Seasonal ARMA model using PMM2 method
SARPMM2-class S4 class for Seasonal AR model results with PMM2
sar_pmm2 Fit Seasonal AR model using PMM2 method
show-method Show method for PMM2fit objects
show-method Show method for PMM3fit objects
show-method Show method for TS2fit objects (and subclasses)
show-method Show method for TS3fit objects (and subclasses)
SMAPMM2-class S4 class for Seasonal MA PMM2 results
sma_pmm2 Fit a Seasonal MA model using PMM2
solve_pmm2_step PMM2 step solver
summary-method Generic summary method for PMM2fit objects
summary-method Summary method for PMM3fit objects
summary-method Generic summary method for SARIMAPMM2 objects
summary-method Generic summary method for SARMAPMM2 objects
summary-method Summary method for SARPMM2 objects
summary-method Summary method for SMAPMM2 objects
summary-method Generic summary method for TS2fit objects
summary-method Summary method for TS3fit objects
summary.PMMdispatch Summary method for PMMdispatch objects

-- T --

test_symmetry Test whether residuals are sufficiently symmetric for PMM3
TS2fit-class S4 class for PMM2 time-series fit results
TS3fit-class S4 class for PMM3 time-series fit results
ts_pmm2 Fit a time series model using the PMM2 method
ts_pmm2_inference Bootstrap inference for PMM2 time series models
ts_pmm3 Fit a time series model using PMM3

-- V --

vcov-method Variance-covariance matrix for PMM2fit object
vcov-method Variance-covariance matrix for PMM3fit objects
vcov-method Variance-covariance matrix for TS2fit AR models
vcov-method Variance-covariance matrix for TS3fit AR models