spGARCH
Spatial ARCH and GARCH Models
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) doi:10.48550/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.
- Version0.2.2
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- spGARCH citation info
- Last release09/02/2020
Team
Philipp Otto
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- Imports5 packages
- Linking To3 packages