glarma: Generalized Linear Autoregressive Moving Average Models

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Functions are provided for estimation, testing, diagnostic checking and forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with regression variables. These are a class of observation driven non-linear non-Gaussian state space models. The state vector consists of a linear regression component plus an observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals. Currently three distributions (Poisson, negative binomial and binomial) can be used for the response series. Three options (Pearson, score-type and unscaled) for the residuals in the observation driven component are available. Estimation is via maximum likelihood (conditional on initializing values for the ARMA process) optimized using Fisher scoring or Newton Raphson iterative methods. Likelihood ratio and Wald tests for the observation driven component allow testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation functions and probability integral transform residuals are included in the package. Several standard data sets are included in the package.

Author
William T.M. Dunsmuir <w.dunsmuir@unsw.edu.au>, Cenanning Li <cli113@aucklanduni.ac.nz>, and David J. Scott <d.scott@auckland.ac.nz>
Date of publication
2015-10-03 19:41:06
Maintainer
"William T.M. Dunsmuir" <w.dunsmuir@unsw.edu.au>
License
GPL (>= 2)
Version
1.4-0

View on CRAN

Man pages

Asthma
Daily Presentations of Asthma at Campbelltown Hospital
coef.glarma
Extract GLARMA Model Coefficients
DriverDeaths
Single Vehicle Nighttime Driver Deaths in Utah
extractAIC.glarma
Extract AIC from a GLARMA Model
fitted.glarma
Extract GLARMA Model Fitted Values
forecast
Forecasting GLARMA time series
glarma
Generalized Linear Autoregressive Moving Average Models with...
initial
Initial Parameter Generator for GLARMA from GLM
likTests
Likelihood Ratio Test and Wald Test for 'GLARMA' Fit
logLik.glarma
Extract Log-Likelihood from GLARMA Models
model.frame.glarma
Extracting the Model Frame of the GLARMA Model
mySolve
Matrix Inversion of the Hessian of the Log-Likelihood
nobs.glarma
Extract the Number of Observations from a GLARMA Model Fit
OxBoatRace
Oxford-Cambridge Boat Race
paramGen
Parameter Generators
PIT
Non-randomized Probability Integral Transformation
plot.glarma
Plot Diagnostics for a 'glarma' Object
plotPIT
PIT Plots for a 'glarma' Object
Polio
Cases of Poliomyelitis in the U.S.
randPIT
Random normal probability integral transformation
residuals.glarma
Extract GLARMA Model Residuals
RobberyConvict
Court Convictions for Armed Robbery in New South Wales
summary.glarma
Summarize GLARMA Fit

Files in this package

glarma
glarma/TODO
glarma/inst
glarma/inst/CITATION
glarma/inst/doc
glarma/inst/doc/glarma.Rnw
glarma/inst/doc/glarma.R
glarma/inst/doc/glarma.pdf
glarma/inst/unitTests
glarma/inst/unitTests/Makefile
glarma/inst/unitTests/runit.paramGen.R
glarma/inst/unitTests/runit.likTests.R
glarma/inst/unitTests/runit.glarma.R
glarma/inst/unitTests/runit.plot.glarma.R
glarma/inst/unitTests/runTests.R
glarma/tests
glarma/tests/offsetTests.R
glarma/tests/randomisedResidsTest.R
glarma/tests/forecastTests.R
glarma/tests/doRUnit.R
glarma/NAMESPACE
glarma/data
glarma/data/Polio.RData
glarma/data/RobberyConvict.RData
glarma/data/OxBoatRace.RData
glarma/data/Asthma.RData
glarma/data/DriverDeaths.RData
glarma/R
glarma/R/likTests.R
glarma/R/glarmaModelEstimates.R
glarma/R/glarmaPoissonPearson.R
glarma/R/mySolve.R
glarma/R/accessors.R
glarma/R/glarmaPoissonScore.R
glarma/R/paramGen.R
glarma/R/randPIT.R
glarma/R/glarma.R
glarma/R/glarmaBinomialScore.R
glarma/R/glarmaBinomialPearson.R
glarma/R/forecast.R
glarma/R/glarmaNegBinPearson.R
glarma/R/summary.glarma.R
glarma/R/initial.R
glarma/R/plot.glarma.R
glarma/R/PIT.R
glarma/R/glarmaNegBinScore.R
glarma/R/glarmaBinomialIdentity.R
glarma/vignettes
glarma/vignettes/glarma.Rnw
glarma/vignettes/glarma.bib
glarma/MD5
glarma/build
glarma/build/vignette.rds
glarma/DESCRIPTION
glarma/ChangeLog
glarma/man
glarma/man/plotPIT.Rd
glarma/man/coef.glarma.Rd
glarma/man/paramGen.Rd
glarma/man/OxBoatRace.Rd
glarma/man/PIT.Rd
glarma/man/glarma.Rd
glarma/man/Asthma.Rd
glarma/man/model.frame.glarma.Rd
glarma/man/RobberyConvict.Rd
glarma/man/initial.Rd
glarma/man/mySolve.Rd
glarma/man/extractAIC.glarma.Rd
glarma/man/residuals.glarma.Rd
glarma/man/fitted.glarma.Rd
glarma/man/nobs.glarma.Rd
glarma/man/summary.glarma.Rd
glarma/man/DriverDeaths.Rd
glarma/man/likTests.Rd
glarma/man/Polio.Rd
glarma/man/plot.glarma.Rd
glarma/man/forecast.Rd
glarma/man/randPIT.Rd
glarma/man/logLik.glarma.Rd