Fits Regression & ARMA Models Subject to Constraints to the Coefficient

Fits or generalized linear models either a regression with Autoregressive moving-average (ARMA) errors for time series data. The package makes it easy to incorporate constraints into the model's coefficients. The model is specified by an objective function (Gaussian, Binomial or Poisson) or an ARMA order (p,q), a vector of bound constraints for the coefficients (i.e beta1 > 0) and the possibility to incorporate restrictions among coefficients (i.e beta1 > beta2). The references of this packages are the same as 'stats' package for glm() and arima() functions. See Brockwell, P. J. and Davis, R. A. (1996, ISBN-10: 9783319298528). For the different optimizers implemented, it is recommended to consult the documentation of the corresponding packages.


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0.1.0 by Josep Puig, 2 years ago

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Authors: Josep Puig Sall├ęs

Documentation:   PDF Manual  

GPL-2 | GPL-3 license

Imports data.table, forecast, rlang, nloptr, FME, MCMCpack, Rsolnp, DEoptim, dfoptim, GA, GenSA, Metrics, ggplot2, adaptMCMC, Rcpp

Suggests testthat, knitr, rmarkdown

See at CRAN