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ModalForecast
View on CRAN: Click
here
Download and install ModalForecast package within the R console
Install from CRAN:
install.packages("ModalForecast")
Install from Github:
library("remotes")
install_github("cran/ModalForecast") Install by package version:
library("remotes")
install_version("ModalForecast", "0.1.0") Attach the package and use:
library("ModalForecast")
Maintained by
Christian Galarza
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[Scholar Profile | Author Map]
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First Published: 2026-05-12
Latest Update: 2026-05-12
Description:
Implements parametric modal Autoregressive Integrated Moving Average (ARIMA) models utilizing the Skewed Distribution (SKD) family. Current distributions supported are the Skew-Normal, Skewed Student-t, and Skewed Laplace. The conditional mode is parameterized and optimized via maximum likelihood using analytical gradients. Includes comprehensive residual diagnostics, robustness options (heavy tails, asymmetry), robust parametric bootstrap prediction intervals, and classical asymptotic inference via the Fisher Information matrix. Methods are described in Galarza, C.E., Lachos, V.H., Cabral, C.R.B., & Castro, L.M. (2017) <doi:10.1002/sta4.140>.
How to cite:
Christian Galarza (2026). ModalForecast: Parametric Modal ARIMA Models using the SKD Family. R package version 0.1.0, https://cran.r-project.org/web/packages/ModalForecast. Accessed 04 Jul. 2026.
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