| Name : R-glarma
| |
| Version : 1.6.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.13
| Date : 2024-06-14 11:00:19
|
| Group : Development/Libraries/Other
| Source RPM : R-glarma-1.6.0-lp153.2.13.src.rpm
|
| Size : 0.69 MB
| |
| Packager : (none)
| |
| Summary : Generalized Linear Autoregressive Moving Average Models
|
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
