• bvarsv

  • Referenced in 110 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...
  • CAViaR

  • Referenced in 191 articles [sw04424]
  • current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution ... quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizing ... information, we introduce a new test of model adequacy, the dynamic quantile test. Applications...
  • partsm

  • Referenced in 44 articles [sw11347]
  • partsm: Periodic Autoregressive Time Series Models. This package performs basic functions to fit and predict ... periodic autoregressive time series models. These models are discussed in the book P.H. Franses...
  • ARfit

  • Referenced in 38 articles [sw00046]
  • analyzing multivariate time series with autoregressive (AR) models. ARfit contains modules to given time series...
  • AS 154

  • Referenced in 52 articles [sw14113]
  • exact maximum likelihood estimation of autoregressive- moving average models by means of Kalman filtering...
  • XLNet

  • Referenced in 20 articles [sw31118]
  • XLNet: Generalized Autoregressive Pretraining for Language Understanding. With the capability of modeling bidirectional contexts, denoising ... performance than pretraining approaches based on autoregressive language modeling. However, relying on corrupting the input ... cons, we propose XLNet, a generalized autoregressive pretraining method that (1) enables learning bidirectional contexts ... state-of-the-art autoregressive model, into pretraining. Empirically, XLNet outperforms BERT on 20 tasks...
  • DEoptim

  • Referenced in 54 articles [sw08656]
  • Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity (MSGARCH) model for the returns of the Swiss Market...
  • cts

  • Referenced in 10 articles [sw13988]
  • package cts: Continuous Time Autoregressive Models. Functions to Fit Continuous Time Autoregressive Models with...
  • wwcode

  • Referenced in 21 articles [sw26044]
  • regression model, designed experiment, and autoregressive time series model for the sake of illustration...
  • fGarch

  • Referenced in 29 articles [sw09994]
  • package fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • StFinMetrics

  • Referenced in 38 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...
  • AS 197

  • Referenced in 27 articles [sw14121]
  • exact likelihood of autoregressive-moving average models. This algorithm has the same purpose as algorithm ... exact likelihood function of a stationary autoregressive-moving average process of order (p,q). That...
  • spdep

  • Referenced in 39 articles [sw04578]
  • spdep: Spatial dependence: weighting schemes, statistics and models , A collection of functions to create spatial ... estimating spatial simultaneous autoregressive (SAR) lag and error models, impact measures for lag models, weighted...
  • GPT-3

  • Referenced in 18 articles [sw42135]
  • stylized GPT·3) is an autoregressive language model that uses deep learning to produce human...
  • NHMSAR

  • Referenced in 11 articles [sw12054]
  • NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models: Fitting, Simulating, Validating...
  • WaveNet

  • Referenced in 26 articles [sw38795]
  • audio waveforms. The model is fully probabilistic and autoregressive, with the predictive distribution for each ... speaker identity. When trained to model music, we find that it generates novel and often...
  • repolr

  • Referenced in 10 articles [sw07133]
  • fitting for a range of working correlation models. The algorithm developed estimates the correlation parameter ... widely used uniform and first-order autoregressive correlation models, for data potentially recorded at irregularly...
  • Spatial Statistics

  • Referenced in 9 articles [sw06026]
  • lattice models. The Matlab Spatial Statistics Toolbox includes code for simultaneous spatial autoregressions (SAR), conditional ... autoregressions (CAR), and mixed regressive spatially autoregressive (MRSA) models. In addition, it contains code...
  • sphet

  • Referenced in 4 articles [sw24257]
  • package sphet: Estimation of Spatial Autoregressive Models with and without Heteroscedasticity. Generalized Method of Moment ... estimation of Cliff-Ord-type spatial autoregressive models with and without Heteroscedasticity...
  • glarma

  • Referenced in 7 articles [sw23274]
  • package glarma: Generalized Linear Autoregressive Moving Average Models. Functions are provided for estimation, testing, diagnostic ... forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with ... driven non-linear non-Gaussian state space models. The state vector consists of a linear ... observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals...