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gasmodel  

Generalized Autoregressive Score Models
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]
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 04 Jun. 2026.
Previous versions and publish date:
0.1.0 (2022-09-20 11:16), 0.2.0 (2023-01-06 10:00), 0.3.0 (2023-05-25 09:40), 0.4.0 (2023-06-29 23:10), 0.5.0 (2023-08-26 17:00), 0.5.1 (2023-08-29 19:10), 0.6.0 (2024-02-02 21:40), 0.6.1 (2025-06-12 22:40)
Other packages that cited gasmodel R package
View gasmodel citation profile
Other R packages that gasmodel depends, 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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