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spGARCH: Spatial ARCH and GARCH Models (spGARCH)
A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.
Getting started
Browse package contents
Package details |
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| Author | Philipp Otto [cre, aut] (<https://orcid.org/0000-0002-9796-6682>) |
| Maintainer | Philipp Otto <philipp.otto89@gmail.com> |
| License | GPL |
| Version | 0.2.3 |
| Package repository | View on CRAN |
| Installation |
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