Package: gasmodel 0.6.0.9000
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:
gasmodel_0.6.0.9000.tar.gz
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gasmodel_0.6.0.9000.tgz(r-4.4-any)gasmodel_0.6.0.9000.tgz(r-4.3-any)
gasmodel_0.6.0.9000.tar.gz(r-4.5-noble)gasmodel_0.6.0.9000.tar.gz(r-4.4-noble)
gasmodel_0.6.0.9000.tgz(r-4.4-emscripten)gasmodel_0.6.0.9000.tgz(r-4.3-emscripten)
gasmodel.pdf |gasmodel.html✨
gasmodel/json (API)
NEWS
| # 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
- bookshop_orders - Antiquarian Bookshop Orders
- ice_hockey_championships - Results of the Ice Hockey World Championships
- toilet_paper_sales - Daily Toilet Paper Sales
Last updated 10 months agofrom:9d009496e2. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 02 2024 |
| R-4.5-win | OK | Nov 02 2024 |
| R-4.5-linux | OK | Nov 02 2024 |
| R-4.4-win | OK | Nov 02 2024 |
| R-4.4-mac | OK | Nov 02 2024 |
| R-4.3-win | OK | Nov 02 2024 |
| R-4.3-mac | OK | Nov 02 2024 |
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:abindADGofTestarrangementsBHbootCircStatsclicolorspacecopulacpp11dplyrfansifarvergenericsggplot2gluegmpgslgtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellmvnfastmvtnormnlmenloptrnumDerivpcaPPpillarpkgconfigpracmapsplinepurrrR6RColorBrewerRcppRcppArmadillorlangscalesstablediststringistringrtibbletidyrtidyselectutf8vctrsviridisLitewithr
Case Study: Bookshop Orders
Rendered fromcase_durations.Rmdusingknitr::rmarkdownon Nov 02 2024.Last update: 2024-02-01
Started: 2022-03-31
Case Study: Ice Hockey Rankings
Rendered fromcase_rankings.Rmdusingknitr::rmarkdownon Nov 02 2024.Last update: 2024-02-01
Started: 2022-03-31
Comparison with the GAS Package
Rendered fromcompare_gas.Rmdusingknitr::rmarkdownon Nov 02 2024.Last update: 2024-01-30
Started: 2024-01-29
Probability Distributions
Rendered fromdistributions.Rmdusingknitr::rmarkdownon Nov 02 2024.Last update: 2024-01-16
Started: 2022-05-16
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Antiquarian Bookshop Orders | bookshop_orders |
| Get the Table of Supported Distributions | distr |
| Compute Density | distr_density |
| Compute Fisher Information | distr_fisher |
| Compute Mean | distr_mean |
| Generate Random Observations | distr_random |
| Compute Score | distr_score |
| Compute Variance | distr_var |
| Estimate GAS Model | gas |
| Bootstrap GAS Model | gas_bootstrap |
| Filter GAS Model | gas_filter |
| Forecast GAS Model | gas_forecast |
| Simulate GAS Model | gas_simulate |
| Results of the Ice Hockey World Championships | ice_hockey_championships |
| Daily Toilet Paper Sales | toilet_paper_sales |
| Wrappers for Hessian Functions | wrappers_hessian wrapper_hessian_numderiv wrapper_hessian_pracma wrapper_hessian_stats |
| Wrappers for Optimization Functions | wrappers_optim wrapper_optim_nloptr wrapper_optim_stats |
| Wrappers for Parallelization Functions | wrappers_parallel wrapper_parallel_multicore wrapper_parallel_none wrapper_parallel_snow |