CRAN/E | spGARCH

spGARCH

Spatial ARCH and GARCH Models (spGARCH)

Installation

About

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) : 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.

Citation spGARCH citation info

Key Metrics

Version 0.2.2
R ≥ 3.1.0
Published 2020-09-02 1498 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks spGARCH results

Downloads

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Last 365 days 3.318 +27%

Maintainer

Maintainer

Philipp Otto

Authors

Philipp Otto

cre / aut

Contacts

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

spGARCH archive

Depends

R ≥ 3.1.0

Imports

Rcpp ≥ 0.12.4
stats
truncnorm
Rsolnp
spdep
Matrix
nleqslv
methods

LinkingTo

Rcpp
RcppEigen
Matrix