GNAR: GNAR package

In GNAR: Methods for Fitting Network Time Series Models

GNAR package

Description

A package to fit, predict, and simulate time series using the Generalised Network AutoRegressive (GNAR) model, potentially with exogenous variables. The main functions are GNARfit and GNARXfit, which fits the model to a time series and network(s), S3 method predict.GNARfit which predicts from a fitted GNAR model, and GNARsim which simulates from a GNAR model with specified parameters. For details of the model, see GNARfit. The package also contains an example network time series in data file fiveNode, with network fiveNet, and simulated time series fiveVTS.

References

Knight, M.I., Nunes, M.A. and Nason, G.P. (2015) Modelling, detrending and decorrelation of network time series. arXiv preprint.

Knight, M.I., Leeming, K., Nason, G.P. and Nunes, M. A. (2020) Generalised Network Autoregressive Processes and the GNAR package. Journal of Statistical Software, 96 (5), 1–36.

Nason G.P. and Wei J. (2022) Quantifying the economic response to COVID-19 mitigations and death rates via forecasting Purchasing Managers’ Indices using Generalised Network Autoregressive models with exogenous variables. Journal of the Royal Statistical Society Series A, 185 (4), 1778–1792.

GNAR documentation built on April 28, 2023, 1:12 a.m.