• bvarsv

  • Referenced in 58 articles [sw11023]
  • bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters ... implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy...
  • StFinMetrics

  • Referenced in 24 articles [sw29976]
  • Insightful Corporation for the statistical analysis and modelling of financial time series. But the book ... cointegration; analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series...
  • bdt

  • Referenced in 3 articles [sw26300]
  • large number of parameters in subset vector autoregressive models often leads one to procure fast...
  • OKVAR-Boost

  • Referenced in 3 articles [sw24063]
  • nonlinear autoregressive model based on operator-valued kernels that simultaneously learns the model parameters ... regularized Operator-valued Kernel-based Vector AutoRegressive model (OKVAR) is trained on a random subnetwork...
  • MSBVAR

  • Referenced in 2 articles [sw04504]
  • MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models , Provides methods for estimating frequentist and Bayesian Vector...
  • AS 311

  • Referenced in 5 articles [sw14167]
  • exact likelihood function of a vector autoregressive moving average model...
  • MARSS

  • Referenced in 2 articles [sw23275]
  • constrained and unconstrained linear multivariate autoregressive state-space (MARSS) models fit to multivariate time-series ... dynamic linear model (DLM) and vector autoregressive model (VAR) model. Functions are provided for parametric...
  • ctsem

  • Referenced in 2 articles [sw15514]
  • time models are conceptually similar to vector autoregressive models (thus also the latent change models...
  • DEoptim

  • Referenced in 35 articles [sw08656]
  • valued function of a real-valued parameter vector. The implementation of differential evolution in DEoptim ... Parratt model for X-ray reflectometry data and a Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity...
  • sspace

  • Referenced in 1 article [sw24827]
  • estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and dynamic-factor...
  • gma

  • Referenced in 1 article [sw26339]
  • Granger causality frameworks. A vector autoregressive model of order p is employed to account...
  • autovarCore

  • Referenced in 0 articles [sw15182]
  • autovarCore: Automated Vector Autoregression Models and Networks. Automatically find the best vector autoregression models...
  • FCVARmodel

  • Referenced in 1 article [sw26083]
  • testing in the fractionally cointegrated VAR model. This manual describes the usage of the accompanying ... testing in the fractionally cointegrated vector autoregressive (VAR) model...
  • pVAR

  • Referenced in 1 article [sw25211]
  • Package of Programs. Panel vector autoregression (VAR) models have been increasingly used in applied research...
  • SCoT

  • Referenced in 1 article [sw26647]
  • various spectral measures relying on vector autoregressive (VAR) models. Optionally, these VAR models...
  • PROC VARMAX

  • Referenced in 1 article [sw12093]
  • procedure estimates the model parameters and generates forecasts associated with vector autoregressive moving-average processes...
  • glarma

  • Referenced in 3 articles [sw23274]
  • forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with ... linear non-Gaussian state space models. The state vector consists of a linear regression component ... observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals ... testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation...
  • SparseTSCGM

  • Referenced in 0 articles [sw15374]
  • Sparse Time Series Chain Graphical Models. Computes sparse vector autoregressive coefficients and precision matrices...
  • PReMiuM

  • Referenced in 8 articles [sw14746]
  • regression models, non-parametrically linking a response vector to covariate data through cluster membership ... effects in the response model, where a spatial CAR (conditional autoregressive) term can be also...
  • MultiArmLab

  • Referenced in 2 articles [sw06879]
  • MARM (Multivariate Autoregressive Modular) processes constitute a versatile class of multidimensional stochastic sequences which ... This paper (Part II) proposes practical MARM modeling and forecasting methodologies of considerable generality, suitable ... MARM) processes, suitable for modeling of empirical vector-valued time series, and devise the corresponding...