Package: gasmodel 0.6.2

Vladimír Holý

gasmodel: Generalized Autoregressive Score Models

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.

Authors:Vladimír Holý [aut, cre]

gasmodel_0.6.2.tar.gz
gasmodel_0.6.2.zip(r-4.7-any)gasmodel_0.6.2.zip(r-4.6-any)gasmodel_0.6.2.zip(r-4.5-any)
gasmodel_0.6.2.tgz(r-4.6-any)gasmodel_0.6.2.tgz(r-4.5-any)
gasmodel_0.6.2.tar.gz(r-4.7-any)gasmodel_0.6.2.tar.gz(r-4.6-any)
gasmodel_0.6.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
gasmodel/json (API)

# Install 'gasmodel' in R:
install.packages('gasmodel', repos = c('https://vladimirholy.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/vladimirholy/gasmodel/issues

Datasets:

On CRAN:

Conda:

dcsgastime-series

5.95 score 18 stars 3 scripts 363 downloads 20 exports 50 dependencies

Last updated from:16b4506e47. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK221
source / vignettesOK246
linux-release-x86_64OK156
macos-release-arm64OK145
macos-oldrel-arm64OK187
windows-develOK138
windows-releaseOK133
windows-oldrelOK132
wasm-releaseOK154

Exports:distrdistr_densitydistr_fisherdistr_meandistr_randomdistr_scoredistr_vargasgas_bootstrapgas_filtergas_forecastgas_simulatewrapper_hessian_numderivwrapper_hessian_pracmawrapper_hessian_statswrapper_optim_nloptrwrapper_optim_statswrapper_parallel_multicorewrapper_parallel_nonewrapper_parallel_snow

Dependencies:abindADGofTestarrangementsBHcliclustercolorspacecopulacpp11dplyrfarvergenericsggplot2gluegmpgslgtableisobandlabelinglatticelifecyclemagrittrMatrixmvnfastmvtnormnloptrnumDerivpcaPPpillarpkgconfigpracmapsplinepurrrR6RColorBrewerRcppRcppArmadillorlangS7scalesstablediststringistringrtibbletidyrtidyselectutf8vctrsviridisLitewithr

Case Study: Bookshop Orders
Introduction | Data Preparation | Model Estimation | Trend | Bootstrapping | Simulation | References
Rendered fromcase_durations.Rmdusingknitr::rmarkdown

Last update: 2025-08-12
Started: 2022-03-31

Case Study: Ice Hockey Rankings
Introduction | Data Preparation | Basic Insight | Model Estimation | Who Is the Best? | Time-Varying Worth Parameters | Forecasting | References
Rendered fromcase_rankings.Rmdusingknitr::rmarkdown

Last update: 2025-08-12
Started: 2022-03-31

Comparison with the GAS Package
Introduction | The Bookshop Orders Case Study | The Ice Hockey Rankings Case Study | Comparison of Supported Distributions and Functionalities | References
Rendered fromcompare_gas.Rmdusingknitr::rmarkdown

Last update: 2025-08-12
Started: 2024-01-29

Limitations and Customization
Adding a New Distribution | Interaction Between Parameters and Non-Linear Dependence | Non-Standard Structure of Time Series | Other Dynamic Models Using Score | References
Rendered fromcustomization.Rmdusingknitr::rmarkdown

Last update: 2025-08-12
Started: 2025-08-12

Probability Distributions
Binary Data | Bernoulli Distribution | Probabilistic Parametrization | Parameter | Probability Mass Function | Moments | Score | Fisher Information | Categorical Data | Categorical Distribution | Worth Parametrization | Parameters | Vector Notation | Notes | Ranking Data | Plackett–Luce Distribution | Ranking Notation | Further Reading | Count Data | Double Poisson Distribution | Mean Parametrization | Note | Geometric Distribution | Negative Binomial Distribution | NB2 Parametrization | Poisson Distribution | Zero-Inflated Geometric Distribution | Zero-Inflated Negative Binomial Distribution | Zero-Inflated Poisson Distribution | Integer Data | Skellam Distribution | Difference Parametrization | Mean-Dispersion Parametrization | Mean-Variance Parametrization | Zero-Inflated Skellam Distribution | Circular Data | von Mises Distribution | Mean-Concentration Parametrization | Density Function | Circular Moments | Interval Data | Beta Distribution | Concentration Parametrization | Mean-Size Parametrization | Kumaraswamy Distribution | Logit-Normal Distribution | Logit-Mean-Variance Parametrization | Compositional Data | Dirichlet Distribution | Duration Data | Birnbaum–Saunders Distribution | Scale Parametrization | Burr Distribution | Exponential Distribution | Rate Parametrization | Exponential-Logarithmic Distribution | Fisk Distribution | Gamma Distribution | Generalized Gamma Distribution | Log-Normal Distribution | Log-Mean-Variance Parametrization | Lomax Distribution | Rayleigh Distribution | Weibull Distribution | Real Data | Asymmetric Laplace Distribution | Mean-Scale Parametrization | Generalized Error Distribution | Laplace Distribution | Logistic Distribution | Normal Distribution | Student's t Distribution | Multivariate Real Data | Multivariate Normal Distribution | Vector and Matrix Notation | Multivariate Student's t Distribution
Rendered fromdistributions.Rmdusingknitr::rmarkdown

Last update: 2025-08-09
Started: 2022-05-16

Readme and manuals

Help Manual

Help pageTopics
Antiquarian Bookshop Ordersbookshop_orders
Get the Table of Supported Distributionsdistr
Compute Densitydistr_density
Compute Fisher Informationdistr_fisher
Compute Meandistr_mean
Generate Random Observationsdistr_random
Compute Scoredistr_score
Compute Variancedistr_var
Estimate GAS Modelgas
Bootstrap GAS Modelgas_bootstrap
Filter GAS Modelgas_filter
Forecast GAS Modelgas_forecast
Simulate GAS Modelgas_simulate
Results of the Ice Hockey World Championshipsice_hockey_championships
Daily Toilet Paper Salestoilet_paper_sales
Wrappers for Hessian Functionswrappers_hessian wrapper_hessian_numderiv wrapper_hessian_pracma wrapper_hessian_stats
Wrappers for Optimization Functionswrappers_optim wrapper_optim_nloptr wrapper_optim_stats
Wrappers for Parallelization Functionswrappers_parallel wrapper_parallel_multicore wrapper_parallel_none wrapper_parallel_snow