Other packages > Find by keyword >

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", "1.7-1")



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: 2025-03-28
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 1.7-1, https://cran.r-project.org/web/packages/glarma. Accessed 16 Jul. 2026.
Previous versions and publish date:
(2026-07-09 07:44), 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), 1.6-0 (2018-02-07 05:26)
Other packages that cited glarma R package
View glarma citation profile
Other R packages that glarma depends, imports, suggests or enhances
Complete documentation for glarma
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

schoolmath  
Functions and Datasets for Math Used in School
Contains functions and datasets for math taught in school. A main focus is set to prime-calculation. ...
Download / Learn more Package Citations See dependency  
wordnet  
WordNet Interface
An interface to WordNet using the Jawbone Java API to WordNet. WordNet (< ...
Download / Learn more Package Citations See dependency  
Rnmr1D  
Perform the Complete Processing of a Set of Proton Nuclear Magnetic Resonance Spectra
Perform the complete processing of a set of proton nuclear magnetic resonance spectra from the free ...
Download / Learn more Package Citations See dependency  
tarchetypes  
Archetypes for Targets
Function-oriented Make-like declarative pipelines for Statistics and data science are supported in t ...
Download / Learn more Package Citations See dependency  
tibble  
Simple Data Frames
Provides a 'tbl_df' class (the 'tibble') with stricter checking and better formatting than the tradi ...
Download / Learn more Package Citations See dependency  
bbdetection  
Identification of Bull and Bear States of the Market
Implements two algorithms of detecting Bull and Bear markets in stock prices: the algorithm of Pagan ...
Download / Learn more Package Citations See dependency  

27,806

R Packages

239,283

Dependencies

73,837

Author Associations

27,807

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA