Generalized Autoregressive Score Models
Get the Table of Supported Distributions
Compute Density
Compute Fisher Information
Compute Mean
Generate Random Observations
Compute Score
Compute Variance
Estimate GAS Model
Bootstrap GAS Model
Filter GAS Model
Forecast GAS Model
Simulate GAS Model
gasmodel: Generalized Autoregressive Score Models
Wrappers for Hessian Functions
Wrappers for Optimization Functions
Wrappers for Parallelization Functions
Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>. Model specification allows for various data types and distributions, different parametrizations, exogenous variables, joint and separate modeling of exogenous variables and dynamics, higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method.
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