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 publication2017-01-25 09:02:55
Maintainer"William T.M. Dunsmuir" <w.dunsmuir@unsw.edu.au>
LicenseGPL (>= 2)
Version1.5-0

View on CRAN

Functions

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

Files

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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