g05pd Method
関数リスト一覧   NagLibrary Namespaceへ  ライブラリイントロダクション  本ヘルプドキュメントのchm形式版

g05pd generates a given number of terms of a type I AGARCHp,q process (see Engle and Ng (1993)).

Syntax

C#
public static void g05pd(
	string dist,
	int num,
	int ip,
	int iq,
	double[] theta,
	double gamma,
	int df,
	double[] ht,
	double[] et,
	bool fcall,
	double[] r,
	G05..::.G05State g05state,
	out int ifail
)
Visual Basic (Declaration)
Public Shared Sub g05pd ( _
	dist As String, _
	num As Integer, _
	ip As Integer, _
	iq As Integer, _
	theta As Double(), _
	gamma As Double, _
	df As Integer, _
	ht As Double(), _
	et As Double(), _
	fcall As Boolean, _
	r As Double(), _
	g05state As G05..::.G05State, _
	<OutAttribute> ByRef ifail As Integer _
)
Visual C++
public:
static void g05pd(
	String^ dist, 
	int num, 
	int ip, 
	int iq, 
	array<double>^ theta, 
	double gamma, 
	int df, 
	array<double>^ ht, 
	array<double>^ et, 
	bool fcall, 
	array<double>^ r, 
	G05..::.G05State^ g05state, 
	[OutAttribute] int% ifail
)
F#
static member g05pd : 
        dist:string * 
        num:int * 
        ip:int * 
        iq:int * 
        theta:float[] * 
        gamma:float * 
        df:int * 
        ht:float[] * 
        et:float[] * 
        fcall:bool * 
        r:float[] * 
        g05state:G05..::.G05State * 
        ifail:int byref -> unit 

Parameters

dist
Type: System..::.String
On entry: the type of distribution to use for εt.
dist="N"
A Normal distribution is used.
dist="T"
A Student's t-distribution is used.
Constraint: dist="N" or "T".
num
Type: System..::.Int32
On entry: T, the number of terms in the sequence.
Constraint: num0.
ip
Type: System..::.Int32
On entry: the number of coefficients, βi, for i=1,2,,p.
Constraint: ip0.
iq
Type: System..::.Int32
On entry: the number of coefficients, αi, for i=1,2,,q.
Constraint: iq1.
theta
Type: array< System..::.Double >[]()[]
An array of size [iq+ip+1]
On entry: the first element must contain the coefficient αo, the next iq elements must contain the coefficients αi, for i=1,2,,q. The remaining ip elements must contain the coefficients βj, for j=1,2,,p.
Constraints:
  • i=2 iq+ip+1 theta[i-1]<1.0;
  • theta[i-1]0.0, for i=2,3,,ip+iq+1.
gamma
Type: System..::.Double
On entry: the asymmetry parameter γ for the GARCHp,q sequence.
df
Type: System..::.Int32
On entry: the number of degrees of freedom for the Student's t-distribution.
If dist="N", df is not referenced.
Constraint: if dist="T", df>2.
ht
Type: array< System..::.Double >[]()[]
An array of size [num]
On exit: the conditional variances ht, for t=1,2,,T, for the GARCHp,q sequence.
et
Type: array< System..::.Double >[]()[]
An array of size [num]
On exit: the observations εt, for t=1,2,,T, for the GARCHp,q sequence.
fcall
Type: System..::.Boolean
On entry: if fcall=true, a new sequence is to be generated, otherwise a given sequence is to be continued using the information in r.
r
Type: array< System..::.Double >[]()[]
An array of size [lr]
Note: lr must satisfy the constraint: lr2×ip+iq+2
On entry: the array contains information required to continue a sequence if fcall=false.
On exit: contains information that can be used in a subsequent call of g05pd, with fcall=false.
g05state
Type: NagLibrary..::.G05..::.G05State
An object of type G05.G05State.
ifail
Type: System..::.Int32 %
On exit: ifail=0 unless the method detects an error (see [Error Indicators and Warnings]).

Description

References

Error Indicators and Warnings

Accuracy

Further Comments

Example

See Also