Extract Parameter Trajectory — extract_param

Extract the evolution of parameters across EM iterations for a given state. Supports DCC, CGARCH, and GOGARCH model types with automatic detection.

Usage

extract_param_trajectory(
  diagnostics,
  state,
  param_name,
  series = NULL,
  component = NULL,
  model_type = c("auto", "dcc", "cgarch", "gogarch")
)

Arguments

diagnostics: An object of class ms_diagnostics
state: Integer state index
param_name: Character string specifying parameter name. For single parameter extraction use names like "alpha_1", "beta_1", "gamma_1", "shape", "omega". Use "all" to extract all relevant correlation parameters based on model type.
series: Optional integer for series-specific GARCH parameters (omega, alpha1, beta1)
component: Optional integer for GOGARCH component-specific parameters
model_type: Character: model type override. One of "auto" (default), "dcc", "cgarch", or "gogarch". When "auto", attempts to detect from diagnostics.

Value

For single parameter: a data.frame with columns iteration and value. For "all": a data.frame with iteration and all relevant parameters as columns. Returns NULL if parameter not found.

Details

The function extracts different parameters depending on model type:

DCC: alpha_1, beta_1 (correlation dynamics), shape (if MVT)
CGARCH: alpha_1, beta_1, gamma_1 (if ADCC), shape (if MVT copula)
GOGARCH: component GARCH parameters (omega, alpha1, beta1 per component)

Examples

if (FALSE) { # \dontrun{
# Extract single DCC parameter
alpha_traj <- extract_param_trajectory(diag, state = 1, param_name = "alpha_1")
plot(alpha_traj$iteration, alpha_traj$value, type = "b")

# Extract all correlation parameters (auto-detects model type)
all_traj <- extract_param_trajectory(diag, state = 1, param_name = "all")

# Extract GOGARCH component parameter
comp1_alpha <- extract_param_trajectory(diag, state = 1, param_name = "alpha1", 
                                         component = 1, model_type = "gogarch")

# Extract series-specific GARCH omega
omega_traj <- extract_param_trajectory(diag, state = 2, param_name = "omega", series = 1)
} # }