Package: spGARCH 0.2.2

Philipp Otto

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.

Authors:Philipp Otto [cre, aut]

spGARCH_0.2.2.tar.gz
spGARCH_0.2.2.tar.gz(r-4.5-noble)spGARCH_0.2.2.tar.gz(r-4.4-noble)
spGARCH_0.2.2.tgz(r-4.4-emscripten)spGARCH_0.2.2.tgz(r-4.3-emscripten)
spGARCH.pdf |spGARCH.html✨
spGARCH/json (API)

# Install 'spGARCH' in R:
install.packages('spGARCH', repos = 'https://cloud.r-project.org')
Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • prostate_cancer - Logarithmic incidence rates of prostate cancer and covariates

On CRAN:

Conda:

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

cpp

1.00 score 1 stars 304 downloads 13 exports 24 dependencies

Last updated 5 years agofrom:e929dc5d7f. Checks:1 OK, 2 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 11 2025
R-4.5-linux-x86_64NOTEMar 11 2025
R-4.4-linux-x86_64NOTEMar 11 2025

Exports:extractAIC.spARCHfitted.spARCHlogLik.spARCHplot.spARCHprint.spARCHprint.summary.spARCHqml.SARspARCHqml.spARCHresiduals.spARCHsim.spARCHsim.spGARCHspARCHsummary.spARCH

Dependencies:bootclassclassIntDBIdeldire1071KernSmoothlatticemagrittrMASSMatrixnleqslvproxyRcppRcppEigenRsolnps2sfspspDataspdeptruncnormunitswk

Citation

To cite spGARCH in publications use:

Otto, P., Schmid, W. & Garthoff, R. (2018). Generalised spatial and spatiotemporal autoregressive conditional heteroscedasticity Spatial Statistics 26, pp. 125-145 URL: https://doi.org/10.1016/j.spasta.2018.07.005.

Otto, P. (2019). spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models To appear: The R Journal URL: https://arxiv.org/abs/1812.01871

Corresponding BibTeX entries: 

  @Article{,
    title = {Generalised spatial and spatiotemporal autoregressive
      conditional heteroscedasticity},
    author = {Philipp Otto and Wolfgang Schmid and Robert Garthoff},
    journal = {Spatial Statistics},
    year = {2018},
    volume = {26},
    pages = {125--145},
    url = {https://doi.org/10.1016/j.spasta.2018.07.005},
  }

  @Article{,
    title = {spGARCH: An R-Package for Spatial and Spatiotemporal ARCH
      and GARCH models},
    author = {Philipp Otto},
    journal = {To appear: The R Journal},
    year = {2019},
  }