[cre, aut]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.
| Version: | 0.2.2 |
| Depends: | R (≥ 3.1.0) |
| Imports: | Rcpp (≥ 0.12.4), stats, truncnorm, Rsolnp, spdep, Matrix, nleqslv, methods |
| LinkingTo: | Rcpp, RcppEigen, Matrix |
| Published: | 2020-09-02 |
| Author: | Philipp Otto
[cre, aut] |
| Maintainer: | Philipp Otto <ph.otto789 at gmail.com> |
| Contact: | <ph.otto789@gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | yes |
| Citation: | spGARCH citation info |
| CRAN checks: | spGARCH results |
| Reference manual: | spGARCH.pdf |
| Package source: | spGARCH_0.2.2.tar.gz |
| Windows binaries: | r-devel: spGARCH_0.2.2.zip, r-release: spGARCH_0.2.2.zip, r-oldrel: spGARCH_0.2.2.zip |
| macOS binaries: | r-release: spGARCH_0.2.2.tgz, r-oldrel: spGARCH_0.2.2.tgz |
| Old sources: | spGARCH archive |
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