gasmodel (Q82812): Difference between revisions

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+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.
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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

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0.1.0

publication date

20 September 2022

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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