Package: gasmodel
Type: Package
Title: Generalized Autoregressive Score Models
Version: 0.6.2
Authors@R: 
    c(person(given = "Vladimír",
             family = "Holý",
             role = c("aut", "cre"),
             email = "vladimir.holy@vse.cz",
             comment = c(ORCID = "0000-0003-0416-0434")))
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.
License: GPL-3
Encoding: UTF-8
LazyData: true
Imports: abind, arrangements, copula, dplyr, ggplot2, Matrix, mvnfast,
        nloptr, numDeriv, pracma, tidyr
Suggests: hms, knitr, rmarkdown, testthat
RoxygenNote: 7.3.2
Depends: R (>= 3.5)
VignetteBuilder: knitr
Config/testthat/edition: 3
URL: https://github.com/vladimirholy/gasmodel
BugReports: https://github.com/vladimirholy/gasmodel/issues
Config/pak/sysreqs: cmake libgmp3-dev libgsl0-dev libicu-dev
Repository: https://vladimirholy.r-universe.dev
Date/Publication: 2025-08-17 23:12:38 UTC
RemoteUrl: https://github.com/vladimirholy/gasmodel
RemoteRef: HEAD
RemoteSha: 16b4506e47511d1c67721a960e0ea1231c237fe5
NeedsCompilation: no
Packaged: 2026-07-16 06:54:39 UTC; root
Author: Vladimír Holý [aut, cre] (ORCID:
    <https://orcid.org/0000-0003-0416-0434>)
Maintainer: Vladimír Holý <vladimir.holy@vse.cz>