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glarma  

Generalized Linear Autoregressive Moving Average Models
View on CRAN: Click here


Download and install glarma package within the R console
Install from CRAN:
install.packages("glarma")

Install from Github:
library("remotes")
install_github("cran/glarma")

Install by package version:
library("remotes")
install_version("glarma", "1.6-0")



Attach the package and use:
library("glarma")
Maintained by
"William T.M. Dunsmuir"
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2013-12-16
Latest Update: 2018-02-07
Description:
Functions are provided for estimation, testing, diagnostic checking and forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with regression variables. These are a class of observation driven non-linear non-Gaussian state space models. The state vector consists of a linear regression component plus an observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals. Currently three distributions (Poisson, negative binomial and binomial) can be used for the response series. Three options (Pearson, score-type and unscaled) for the residuals in the observation driven component are available. Estimation is via maximum likelihood (conditional on initializing values for the ARMA process) optimized using Fisher scoring or Newton Raphson iterative methods. Likelihood ratio and Wald tests for the observation driven component allow testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation functions and probability integral transform residuals are included in the package. Several standard data sets are included in the package.
How to cite:
"William T.M. Dunsmuir" (2013). glarma: Generalized Linear Autoregressive Moving Average Models. R package version 1.6-0, https://cran.r-project.org/web/packages/glarma
Previous versions and publish date:
1.0-2 (2013-12-16 07:43), 1.1-0 (2014-01-17 06:14), 1.2-0 (2014-07-31 07:18), 1.3-0 (2015-01-05 18:03), 1.4-0 (2015-10-03 19:41), 1.5-0 (2017-01-25 09:02)
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