Package: wARMASVp
Type: Package
Title: Winsorized ARMA Estimation for Higher-Order Stochastic
        Volatility Models
Version: 0.2.0
Authors@R: c(
    person("Gabriel", "Rodriguez-Rondon",
           email = "gabriel.rodriguezrondon@mail.mcgill.ca",
           role = c("aut", "cre"),
           comment = c(ORCID = "0009-0005-3769-9921")),
    person("Md. Nazmul", "Ahsan", role = "aut"),
    person("Jean-Marie", "Dufour", role = "aut"))
Description: Estimation, simulation, hypothesis testing, AR-order
        selection, and forecasting for univariate higher-order
        stochastic volatility SV(p) models. Supports Gaussian,
        Student-t, and Generalized Error Distribution (GED)
        innovations, with optional leverage effects. Estimation uses
        closed-form Winsorized ARMA-SV (W-ARMA-SV) moment-based methods
        that avoid numerical optimization. Hypothesis testing includes
        Local Monte Carlo (LMC) and Maximized Monte Carlo (MMC)
        procedures for leverage effects, heavy tails, and
        autoregressive order. AR-order selection is also available via
        information criteria (BIC/AIC) using the Kalman-filter
        quasi-likelihood and the Hannan-Rissanen ARMA residual
        variance. Forecasting is based on Kalman filtering and
        smoothing. See Ahsan and Dufour (2021)
        <doi:10.1016/j.jeconom.2021.03.008>, Ahsan, Dufour, and
        Rodriguez-Rondon (2025) <doi:10.1111/jtsa.12851>, and Ahsan,
        Dufour, and Rodriguez-Rondon (2026) <doi:10.34989/swp-2026-8>
        for details.
License: GPL (>= 3)
URL: https://github.com/roga11/wARMASVp
BugReports: https://github.com/roga11/wARMASVp/issues
Encoding: UTF-8
Imports: Rcpp (>= 1.0.0), gsignal, stats
Suggests: pso, GenSA, testthat (>= 3.0.0), knitr, rmarkdown
LinkingTo: Rcpp, RcppArmadillo
RoxygenNote: 7.3.3
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2026-10-27 10:09:43 UTC; root
Author: Gabriel Rodriguez-Rondon [aut, cre] (ORCID:
        <https://orcid.org/0009-0005-3769-9921>), Md. Nazmul Ahsan
        [aut], Jean-Marie Dufour [aut]
Maintainer: Gabriel Rodriguez-Rondon
 <gabriel.rodriguezrondon@mail.mcgill.ca>
Repository: https://cran.r-universe.dev
Date/Publication: 2026-05-15 17:56:11 UTC
RemoteUrl: https://github.com/cran/wARMASVp
RemoteRef: HEAD
RemoteSha: 832dc1c9bfe624d3056842ba76e3c8379124c283