Generalized Autoregressive Score Models in R
GAS
(Catania et al., 2018a) implements the Generalized Autoregressive
Score (GAS) framework in R. The GAS package provides
functions to simulate univariate and multivariate GAS processes,
estimate the GAS parameters and to make time series forecasts. Full description of the algorithm
<<<<<<< HEAD
and numerous applications are available in Ardia et al. (2019) and Ardia et al. (2018b).
and numerous applications are available in Ardia et al. (2018) and Ardia et al. (2019).
c59c3e0ead8f4f603a6c477c88c6449079d3db2b
The latest stable version of GAS
is available at https://CRAN.R-project.org/package=GAS.
The latest development version of GAS
is available at https://github.com/LeopoldoCatania/GAS.
Please cite GAS
in publications:
Catania, L., Boudt, K., Ardia, D. (2018a).
GAS: Generalized Autoregressive Score Models.
R package.
https://CRAN.R-project.org/package=GAS
Ardia, D., Boudt, K., Catania, L. (2019).
Generalized autoregressive score models in R: The GAS package.
<<<<<<< HEAD
Journal of Statistical Software.
http://doi.org/10.18637/jss.v088.i06
Journal of Statistical Software, 88(6), 1โ28.
http://dx.doi.org/10.18637/jss.v088.i06
c59c3e0ead8f4f603a6c477c88c6449079d3db2b
Ardia, D., Boudt, K., Catania, L. (2018).
Downside Risk Evaluation with the R Package GAS.
<<<<<<< HEAD
The R Journal.
https://journal.r-project.org/archive/2018/RJ-2018-064/index.html
R Journal, 10(2), 410โ421.
http://dx.doi.org/10.32614/RJ-2018-064
c59c3e0ead8f4f603a6c477c88c6449079d3db2b