spGARCH (Q38654)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Spatial ARCH and GARCH Models (spGARCH)
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | spGARCH |
Spatial ARCH and GARCH Models (spGARCH) |
Statements
9 April 2025
0 references
A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.
0 references
