Last data update: 2014.03.03
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glarma
Package: glarma
Type: Package
Title: Generalized Linear Autoregressive Moving Average Models
Version: 1.4-0
Date: 2015-09-29
Author: William T.M. Dunsmuir <w.dunsmuir@unsw.edu.au>, Cenanning Li
<cli113@aucklanduni.ac.nz>, and David J. Scott
<d.scott@auckland.ac.nz>
Maintainer: "William T.M. Dunsmuir" <w.dunsmuir@unsw.edu.au>
Depends: R (>= 2.3.0)
Imports: MASS
Suggests: RUnit, knitr, zoo
VignetteBuilder: knitr
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.
License: GPL (>= 2)
Packaged: 2015-09-29 23:13:07 UTC; dsco036
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2015-10-03 19:41:06
Install log
* installing to library '/home/ddbj/local/lib64/R/library'
* installing *source* package 'glarma' ...
** package 'glarma' successfully unpacked and MD5 sums checked
** R
** data
** inst
** preparing package for lazy loading
** help
*** installing help indices
converting help for package 'glarma'
finding HTML links ... done
Asthma html
DriverDeaths html
OxBoatRace html
PIT html
Polio html
RobberyConvict html
coef.glarma html
extractAIC.glarma html
fitted.glarma html
forecast html
glarma html
initial html
likTests html
logLik.glarma html
model.frame.glarma html
mySolve html
nobs.glarma html
paramGen html
plot.glarma html
plotPIT html
randPIT html
residuals.glarma html
summary.glarma html
** building package indices
** installing vignettes
** testing if installed package can be loaded
* DONE (glarma)
Making 'packages.html' ... done
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