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gasmodel
View on CRAN: Click
here
Download and install gasmodel package within the R console
Install from CRAN:
install.packages("gasmodel")
Install from Github:
library("remotes")
install_github("cran/gasmodel") Install by package version:
library("remotes")
install_version("gasmodel", "0.6.2") Attach the package and use:
library("gasmodel")
Maintained by
Vladimír Holý
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-09-20
Latest Update: 2025-06-12
Description:
Estimation, forecasting, and simulation of generalized
autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013)
and Harvey (2013) .
Model specification allows for various data types and distributions,
different parametrizations, exogenous variables, joint and separate modeling
of exogenous variables and dynamics, higher score and autoregressive orders,
custom and unconditional initial values of time-varying parameters, fixed
and bounded values of coefficients, and missing values. Model estimation is
performed by the maximum likelihood method.
How to cite:
Vladimír Holý (2022). gasmodel: Generalized Autoregressive Score Models. R package version 0.6.2, https://cran.r-project.org/web/packages/gasmodel. Accessed 07 Mar. 2026.
Previous versions and publish date:
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imports, suggests or enhances
Complete documentation for gasmodel
Functions, R codes and Examples using
the gasmodel R package
Some associated functions: bookshop_orders . distr . distr_density . distr_fisher . distr_mean . distr_random . distr_score . distr_var . gas . gas_bootstrap . gas_filter . gas_forecast . gas_simulate . gasmodel-package . ice_hockey_championships . toilet_paper_sales . wrappers_hessian . wrappers_optim . wrappers_parallel .
Some associated R codes: data.R . distr_alaplace_meanscale.R . distr_bernoulli_prob.R . distr_beta_conc.R . distr_beta_meansize.R . distr_beta_meanvar.R . distr_bisa_scale.R . distr_burr_scale.R . distr_cat_worth.R . distr_dirichlet_conc.R . distr_dpois_mean.R . distr_exp_rate.R . distr_exp_scale.R . distr_explog_rate.R . distr_fisk_scale.R . distr_gamma_rate.R . distr_gamma_scale.R . distr_gengamma_rate.R . distr_gengamma_scale.R . distr_geom_mean.R . distr_geom_prob.R . distr_kuma_conc.R . distr_laplace_meanscale.R . distr_logistic_meanscale.R . distr_logitnorm_logitmeanvar.R . distr_lognorm_logmeanvar.R . distr_lomax_scale.R . distr_mvnorm_meanvar.R . distr_mvt_meanvar.R . distr_negbin_nb2.R . distr_negbin_prob.R . distr_norm_meanvar.R . distr_pluce_worth.R . distr_pois_mean.R . distr_rayleigh_scale.R . distr_skellam_diff.R . distr_skellam_meandisp.R . distr_skellam_meanvar.R . distr_t_meanvar.R . distr_vonmises_meanconc.R . distr_weibull_rate.R . distr_weibull_scale.R . distr_zigeom_mean.R . distr_zinegbin_nb2.R . distr_zipois_mean.R . distr_ziskellam_diff.R . distr_ziskellam_meandisp.R . distr_ziskellam_meanvar.R . helper_check.R . helper_convert.R . helper_fixed.R . helper_info.R . helper_likelihood.R . helper_matrix.R . helper_name.R . helper_reparam.R . helper_setup.R . helper_silent.R . helper_starting.R . main_bootstrap.R . main_distr.R . main_estimate.R . main_filter.R . main_forecast.R . main_simulate.R . package.R . wrappers_hessian.R . wrappers_optim.R . wrappers_parallel.R . Full gasmodel package functions and examples
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