Package: glarma 1.6-0

"William T.M. Dunsmuir"

glarma: Generalized Linear Autoregressive Moving Average Models

Functions are provided for estimation, testing, diagnostic checking and forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with regression variables. These are a class of observation driven non-linear non-Gaussian state space models. The state vector consists of a linear regression component plus an observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals. Currently three distributions (Poisson, negative binomial and binomial) can be used for the response series. Three options (Pearson, score-type and unscaled) for the residuals in the observation driven component are available. Estimation is via maximum likelihood (conditional on initializing values for the ARMA process) optimized using Fisher scoring or Newton Raphson iterative methods. Likelihood ratio and Wald tests for the observation driven component allow testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation functions and probability integral transform residuals are included in the package. Several standard data sets are included in the package.

Authors:William T.M. Dunsmuir <[email protected]>, Cenanning Li <[email protected]>, and David J. Scott <[email protected]>

glarma_1.6-0.tar.gz
glarma_1.6-0.tar.gz(r-4.5-noble)glarma_1.6-0.tar.gz(r-4.4-noble)
glarma_1.6-0.tgz(r-4.4-emscripten)glarma_1.6-0.tgz(r-4.3-emscripten)
glarma.pdf |glarma.html✨
glarma/json (API)

# Install 'glarma' in R:
install.packages('glarma', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • Asthma - Daily Presentations of Asthma at Campbelltown Hospital
  • DriverDeaths - Single Vehicle Nighttime Driver Deaths in Utah
  • OxBoatRace - Oxford-Cambridge Boat Race
  • Polio - Cases of Poliomyelitis in the U.S.
  • RobberyConvict - Court Convictions for Armed Robbery in New South Wales

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

34 exports 2 stars 1.31 score 1 dependencies 1 dependents 3 mentions 57 scripts 350 downloads

Last updated 7 years agofrom:3a85562162. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 12 2024
R-4.5-linuxNOTESep 12 2024

Exports:coef.glarmadeltaGenextractAIC.glarmafitted.glarmaforecastforecast.glarmaglarmaglarmaBinomialIdentityglarmaBinomialPearsonglarmaBinomialScoreglarmaModelEstimatesglarmaNegBinPearsonglarmaNegBinScoreglarmaPITglarmaPoissonPearsonglarmaPoissonScoreglarmaPredProbhistPITinitiallikeTestslikTestslogLik.glarmamodel.frame.glarmamySolvenobs.glarmanormRandPITphiGenplot.glarmaprint.glarmaprint.summary.glarmaqqPITresiduals.glarmasummary.glarmathetaGen

Dependencies:MASS

The glarma package

Rendered fromglarma.Rnwusingknitr::knitron Sep 12 2024.

Last update: 2018-02-07
Started: 2014-01-15

Readme and manuals

Help Manual

Help pageTopics
Daily Presentations of Asthma at Campbelltown HospitalAsthma
Extract GLARMA Model Coefficientscoef.glarma coefficients.glarma
Single Vehicle Nighttime Driver Deaths in UtahDriverDeaths
Extract AIC from a GLARMA ModelextractAIC.glarma
Extract GLARMA Model Fitted Valuesfitted.glarma fitted.values.glarma
Forecasting GLARMA time seriesforecast forecast.glarma
Generalized Linear Autoregressive Moving Average Models with Various Distributionsglarma glarmaBinomialIdentity glarmaBinomialPearson glarmaBinomialScore glarmaNegBinPearson glarmaNegBinScore glarmaPoissonPearson glarmaPoissonScore print.glarma
Initial Parameter Generator for GLARMA from GLMinitial
Likelihood Ratio Test and Wald Test for 'GLARMA' FitlikeTests likTests print.likTests
Extract Log-Likelihood from GLARMA ModelslogLik.glarma
Extracting the Model Frame of the GLARMA Modelmodel.frame.glarma
Matrix Inversion of the Hessian of the Log-LikelihoodmySolve
Extract the Number of Observations from a GLARMA Model Fitnobs.glarma
Random normal probability integral transformationnormRandPIT
Oxford-Cambridge Boat RaceOxBoatRace
Parameter GeneratorsdeltaGen paramGen phiGen thetaGen
Non-randomized Probability Integral TransformationglarmaPIT glarmaPredProb
Plot Diagnostics for a 'glarma' Objectplot.glarma
PIT Plots for a 'glarma' ObjecthistPIT qqPIT
Cases of Poliomyelitis in the U.S.Polio
Extract GLARMA Model Residualsresid.glarma residuals.glarma
Court Convictions for Armed Robbery in New South WalesRobberyConvict
Summarize GLARMA FitglarmaModelEstimates print.summary.glarma summary.glarma