glarma: Generalized Linear Autoregressive Moving Average Models

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.

AuthorWilliam 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 publication2015-10-03 19:41:06
Maintainer"William T.M. Dunsmuir" <w.dunsmuir@unsw.edu.au>
LicenseGPL (>= 2)
Version1.4-0

View on CRAN

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

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