GAS: Generalized Autoregressive Score Models
Simulate, estimate and forecast using univariate and multivariate GAS models
as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.
Version: |
0.3.4.1 |
Depends: |
R (≥ 3.4.0), methods |
Imports: |
Rcpp (≥ 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature |
LinkingTo: |
Rcpp, RcppArmadillo |
Suggests: |
testthat |
Published: |
2024-08-19 |
Author: |
Leopoldo Catania
[aut, cre],
David Ardia [ctb],
Kris Boudt [ctb] |
Maintainer: |
Leopoldo Catania <leopoldo.catania at econ.au.dk> |
BugReports: |
https://github.com/LeopoldoCatania/GAS/issues |
License: |
GPL-3 |
URL: |
https://github.com/LeopoldoCatania/GAS |
NeedsCompilation: |
yes |
Citation: |
GAS citation info |
Materials: |
README ChangeLog |
In views: |
TimeSeries |
CRAN checks: |
GAS results |
Documentation:
Downloads:
Reverse dependencies:
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