glarma: Generalized Linear Autoregressive Moving Average Models
Version 1.5-0

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.

Browse man pages Browse package API and functions Browse package files

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 publication2017-01-25 09:02:55
Maintainer"William T.M. Dunsmuir" <w.dunsmuir@unsw.edu.au>
LicenseGPL (>= 2)
Version1.5-0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("glarma")

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

Functions

Asthma Man page
DriverDeaths Man page
OxBoatRace Man page
Polio Man page
RobberyConvict Man page
coef.glarma Man page Source code
coefficients.glarma Man page
deltaGen Man page Source code
extractAIC.glarma Man page Source code
fitted.glarma Man page Source code
fitted.values.glarma Man page
forecast Man page Source code
forecast.glarma Man page Source code
glarma Man page Source code
glarmaBinomialIdentity Man page Source code
glarmaBinomialPearson Man page Source code
glarmaBinomialScore Man page Source code
glarmaModelEstimates Man page Source code
glarmaNegBinPearson Man page Source code
glarmaNegBinScore Man page Source code
glarmaPIT Man page Source code
glarmaPoissonPearson Man page Source code
glarmaPoissonScore Man page Source code
glarmaPredProb Man page Source code
histPIT Man page Source code
initial Man page Source code
likTests Man page
likeTests Man page
logLik.glarma Man page Source code
model.frame.glarma Man page Source code
mySolve Man page Source code
nobs.glarma Man page Source code
normRandPIT Man page Source code
paramGen Man page
phiGen Man page Source code
plot.glarma Man page Source code
print.glarma Man page Source code
print.likTests Man page Source code
print.summary.glarma Man page Source code
qqPIT Man page Source code
resid.glarma Man page
residuals.glarma Man page Source code
summary.glarma Man page Source code
thetaGen Man page Source code

Files

TODO
inst
inst/CITATION
inst/doc
inst/doc/glarma.Rnw
inst/doc/glarma.R
inst/doc/glarma.pdf
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runit.paramGen.R
inst/unitTests/runit.likTests.R
inst/unitTests/runit.glarma.R
inst/unitTests/runit.plot.glarma.R
inst/unitTests/runTests.R
tests
tests/offsetTests.R
tests/randomisedResidsTest.R
tests/forecastTests.R
tests/doRUnit.R
NAMESPACE
data
data/Polio.RData
data/RobberyConvict.RData
data/OxBoatRace.RData
data/Asthma.RData
data/DriverDeaths.RData
R
R/likTests.R
R/glarmaModelEstimates.R
R/glarmaPoissonPearson.R
R/mySolve.R
R/accessors.R
R/glarmaPoissonScore.R
R/paramGen.R
R/randPIT.R
R/glarma.R
R/glarmaBinomialScore.R
R/glarmaBinomialPearson.R
R/forecast.R
R/glarmaNegBinPearson.R
R/summary.glarma.R
R/initial.R
R/plot.glarma.R
R/PIT.R
R/glarmaNegBinScore.R
R/glarmaBinomialIdentity.R
vignettes
vignettes/glarma.Rnw
vignettes/glarma.bib
MD5
build
build/vignette.rds
DESCRIPTION
ChangeLog
man
man/plotPIT.Rd
man/coef.glarma.Rd
man/paramGen.Rd
man/OxBoatRace.Rd
man/PIT.Rd
man/glarma.Rd
man/Asthma.Rd
man/model.frame.glarma.Rd
man/RobberyConvict.Rd
man/initial.Rd
man/mySolve.Rd
man/extractAIC.glarma.Rd
man/residuals.glarma.Rd
man/fitted.glarma.Rd
man/nobs.glarma.Rd
man/summary.glarma.Rd
man/DriverDeaths.Rd
man/likTests.Rd
man/Polio.Rd
man/plot.glarma.Rd
man/forecast.Rd
man/randPIT.Rd
man/logLik.glarma.Rd
glarma documentation built on May 19, 2017, 10:01 p.m.