Generalized Autoregressive Score Models in R: The GAS Package
This paper presents the R package GAS for the analysis of time series under the generalized autoregressive score (GAS) framework of Creal, Koopman, and Lucas (2013) and Harvey (2013). The distinctive feature of the GAS approach is the use of the score function as the driver of time-variation in the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2019-01-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/2843 |