spGARCH: Spatial ARCH and GARCH Models (spGARCH)

A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <arXiv:1609.00711>: simulation of spatial ARCH-type processes (spARCH, exponential spARCH, complex spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

Version: 0.2.1
Depends: R (≥ 3.1.0)
Imports: Rcpp (≥ 0.12.4), stats, truncnorm, Rsolnp, spdep, Matrix, nleqslv
LinkingTo: Rcpp, RcppEigen, Matrix
Published: 2020-02-11
Author: Philipp Otto ORCID iD [cre, aut]
Maintainer: Philipp Otto <potto at europa-uni.de>
Contact: <potto@europa-uni.de>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Citation: spGARCH citation info
CRAN checks: spGARCH results


Reference manual: spGARCH.pdf
Package source: spGARCH_0.2.1.tar.gz
Windows binaries: r-prerelease: spGARCH_0.2.1.zip, r-release: spGARCH_0.2.1.zip, r-oldrel: spGARCH_0.2.1.zip
macOS binaries: r-prerelease: spGARCH_0.2.1.tgz, r-release: spGARCH_0.2.1.tgz, r-oldrel: spGARCH_0.2.1.tgz
Old sources: spGARCH archive


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