Generalized Autoregressive Score Models

Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) .


Generalized Autoregressive Score Models in R

GAS (Catania et al., 2018a) implements the Generalized Autoregressive Score (GAS) framework in R. The GAS package provides functions to simulate univariate and multivariate GAS processes, estimate the GAS parameters and to make time series forecasts. Full description of the algorithm and numerous applications are available in Ardia et al. (2019) and Ardia et al. (2018b).

The latest stable version of GAS is available at https://CRAN.R-project.org/package=GAS.

The latest development version of GAS is available at https://github.com/LeopoldoCatania/GAS.

Please cite GAS in publications:

Catania, L., Boudt, K., Ardia, D. (2018a).
GAS: Generalized Autoregressive Score Models.
R package.
https://CRAN.R-project.org/package=GAS

Ardia, D., Boudt, K., Catania, L. (2019).
Generalized autoregressive score models in R: The GAS package.
Journal of Statistical Software.
http://doi.org/10.18637/jss.v088.i06

Ardia, D., Boudt, K., Catania, L. (2018b).
Downside Risk Evaluation with the R Package GAS.
The R Journal.
https://journal.r-project.org/archive/2018/RJ-2018-064/index.html

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Reference manual

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install.packages("GAS")

0.3.0 by Leopoldo Catania, 2 months ago


https://github.com/LeopoldoCatania/GAS


Report a bug at https://github.com/LeopoldoCatania/GAS/issues


Browse source code at https://github.com/cran/GAS


Authors: Leopoldo Catania [aut,cre] , Kris Boudt [ctb] , David Ardia [ctb]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-3 license


Imports Rcpp, Rsolnp, MASS, xts, numDeriv, zoo, cubature

Depends on methods

Suggests testthat

Linking to Rcpp, RcppArmadillo


See at CRAN