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) <arXiv:1609.00711>: simulation of spatial ARCH-type processes (spARCH, 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

Package details

AuthorPhilipp Otto [cre, aut] (<https://orcid.org/0000-0002-9796-6682>)
MaintainerPhilipp Otto <[email protected]>
Package repositoryView on CRAN
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spGARCH documentation built on Aug. 25, 2019, 5:03 p.m.