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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 and the Hessian matrix.
Getting started
Browse package contents
Package details |
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| Author | Vladimír Holý [aut, cre] (<https://orcid.org/0000-0003-0416-0434>) |
| Maintainer | Vladimír Holý <vladimir.holy@vse.cz> |
| License | GPL-3 |
| Version | 0.5.1 |
| URL | https://github.com/vladimirholy/gasmodel |
| Package repository | View on CRAN |
| Installation |
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