Package: gasmodel
Type: Package
Title: Generalized Autoregressive Score Models
Version: 0.1.0
Author: Vladimír Holý
Maintainer: Vladimír Holý <vladimir.holy@vse.cz>
Description: 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 conditional distributions, different
    parametrizations, exogenous variables, 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 and the
    Hessian matrix.
License: GPL-3
Encoding: UTF-8
LazyData: true
Imports: abind, arrangements, Matrix, mvnfast, nloptr, numDeriv, pracma
Suggests: knitr, rmarkdown, testthat, tidyverse
RoxygenNote: 7.2.1
Depends: R (>= 2.10)
VignetteBuilder: knitr
Config/testthat/edition: 3
URL: https://github.com/vladimirholy/gasmodel
BugReports: https://github.com/vladimirholy/gasmodel/issues
NeedsCompilation: no
Packaged: 2022-09-19 17:03:53 UTC; mira
Repository: CRAN
Date/Publication: 2022-09-20 09:16:12 UTC
