Fits Regression & ARMA Models Subject to Constraints to the Coefficient
Fit a regression model with gaussian or binomial objective function
Fit regression model with Arma errors to univariate time series
Plot an roll object plot an roll.ConsRegArima object
Predict or fitted values of object ConsReg
Predict function for ConsRegArima object
rolling: Back-test your model
Fits or generalized linear models either a regression with Autoregressive moving-average (ARMA) errors for time series data. The package makes it easy to incorporate constraints into the model's coefficients. The model is specified by an objective function (Gaussian, Binomial or Poisson) or an ARMA order (p,q), a vector of bound constraints for the coefficients (i.e beta1 > 0) and the possibility to incorporate restrictions among coefficients (i.e beta1 > beta2). The references of this packages are the same as 'stats' package for glm() and arima() functions. See Brockwell, P. J. and Davis, R. A. (1996, ISBN-10: 9783319298528). For the different optimizers implemented, it is recommended to consult the documentation of the corresponding packages.