gasmodel (Q82812): Difference between revisions

← Older edit

@@ Property / last update @@
-May 2023Timestamp +2023-05-25T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-05-25T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update: 25 May 2023 / rank @@
-Normal rank
@@ Property / cites work @@
-GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
-Normal rank
@@ Property / cites work @@
-Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
-Normal rank
@@ Property / software version identifier @@
+.1.0
@@ Property / software version identifier: 0.1.0 / rank @@
+Normal rank
@@ Property / software version identifier: 0.1.0 / qualifier @@
+publication date: 20 September 2022Timestamp +2022-09-20T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2022-09-20T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.4.0
@@ Property / software version identifier: 0.4.0 / rank @@
+Normal rank
@@ Property / software version identifier: 0.4.0 / qualifier @@
+publication date: 29 June 2023Timestamp +2023-06-29T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-06-29T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.5.0
@@ Property / software version identifier: 0.5.0 / rank @@
+Normal rank
@@ Property / software version identifier: 0.5.0 / qualifier @@
+publication date: 26 August 2023Timestamp +2023-08-26T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-08-26T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.5.1
@@ Property / software version identifier: 0.5.1 / rank @@
+Normal rank
@@ Property / software version identifier: 0.5.1 / qualifier @@
+publication date: 29 August 2023Timestamp +2023-08-29T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-08-29T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.6.0
@@ Property / software version identifier: 0.6.0 / rank @@
+Normal rank
@@ Property / software version identifier: 0.6.0 / qualifier @@
+publication date: 2 February 2024Timestamp +2024-02-02T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2024-02-02T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update @@
+February 2024Timestamp +2024-02-02T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2024-02-02T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update: 2 February 2024 / rank @@
+Normal rank
@@ Property / description @@
+Estimation, forecasting, and simulation of generalized    autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013)    <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>.    Model specification allows for various data types and distributions,    different parametrizations, exogenous variables, joint and separate modeling    of exogenous variables and dynamics, higher score and autoregressive orders,    custom and unconditional initial values of time-varying parameters, fixed    and bounded values of coefficients, and missing values. Model estimation is    performed by the maximum likelihood method.
+Normal rank
@@ Property / author @@
+Vladimír Holý
@@ Property / author: Vladimír Holý / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
+Normal rank
@@ Property / imports @@
+abind
@@ Property / imports: abind / rank @@
+Normal rank
@@ Property / imports @@
+arrangements
@@ Property / imports: arrangements / rank @@
+Normal rank
@@ Property / imports @@
+CircStats
@@ Property / imports: CircStats / rank @@
+Normal rank
@@ Property / imports @@
+copula
@@ Property / imports: copula / rank @@
+Normal rank
@@ Property / imports @@
+dplyr
@@ Property / imports: dplyr / rank @@
+Normal rank
@@ Property / imports @@
+ggplot2
@@ Property / imports: ggplot2 / rank @@
+Normal rank
@@ Property / imports @@
+Matrix
@@ Property / imports: Matrix / rank @@
+Normal rank
@@ Property / imports @@
+mvnfast
@@ Property / imports: mvnfast / rank @@
+Normal rank
@@ Property / imports @@
+nloptr
@@ Property / imports: nloptr / rank @@
+Normal rank
@@ Property / imports @@
+numDeriv
@@ Property / imports: numDeriv / rank @@
+Normal rank
@@ Property / imports @@
+pracma
@@ Property / imports: pracma / rank @@
+Normal rank
@@ Property / imports @@
+tidyr
@@ Property / imports: tidyr / rank @@
+Normal rank
@@ Property / cites work @@
+GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
+Normal rank
@@ Property / depends on software @@
+R
@@ Property / depends on software: R / rank @@
+Normal rank
@@ Property / depends on software: R / qualifier @@
+software version identifier: ≥ 2.10
@@ Property / MaRDI profile type @@
+MaRDI software profile
@@ Property / MaRDI profile type: MaRDI software profile / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Software:82812

Latest revision as of 18:56, 12 March 2024

Generalized Autoregressive Score Models

Language	Label	Description	Also known as
English	gasmodel	Generalized Autoregressive Score Models

Statements

instance of

R package

0 references

software version identifier

0.2.0

publication date

6 January 2023

0 references

0.3.0

publication date

25 May 2023

0 references

0.1.0

publication date

20 September 2022

0 references

0.4.0

publication date

29 June 2023

0 references

0.5.0

publication date

26 August 2023

0 references

0.5.1

publication date

29 August 2023

0 references

0.6.0

publication date

2 February 2024

0 references

0 references

0 references

2 February 2024

0 references

description

Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>. Model specification allows for various data types and distributions, different parametrizations, exogenous variables, joint and separate modeling of exogenous variables and dynamics, higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method.

0 references

author

Vladimír Holý

0 references

copyright license

GNU General Public License, version 3.0

0 references

imports

abind

0 references

arrangements

0 references