gasmodel: Generalized Autoregressive Score Models

Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>. Model specification allows for various conditional distributions, different parametrizations, exogenous variables, higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method and the Hessian matrix.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: abind, arrangements, Matrix, mvnfast, nloptr, numDeriv, pracma
Suggests: knitr, rmarkdown, testthat, tidyverse
Published: 2022-09-20
Author: Vladimír Holý
Maintainer: Vladimír Holý <vladimir.holy at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: gasmodel results


Reference manual: gasmodel.pdf
Vignettes: Case Study: Bookshop Orders
Case Study: Ice Hockey Rankings
Probability Distributions


Package source: gasmodel_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): gasmodel_0.1.0.tgz, r-oldrel (arm64): gasmodel_0.1.0.tgz, r-release (x86_64): gasmodel_0.1.0.tgz, r-oldrel (x86_64): gasmodel_0.1.0.tgz


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