doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.">

spGARCH: Spatial ARCH and GARCH Models (spGARCH) (original) (raw)

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) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

Version: 0.2.3
Depends: R (≥ 3.1.0)
Imports: Rcpp (≥ 0.12.4), stats, truncnorm, Rsolnp, spdep, Matrix, nleqslv, methods, crayon
LinkingTo: Rcpp, RcppEigen, Matrix
Published: 2025-04-09
DOI: 10.32614/CRAN.package.spGARCH
Author: Philipp Otto ORCID iD [cre, aut]
Maintainer: Philipp Otto <philipp.otto89 at gmail.com>
Contact: philipp.otto89@gmail.com
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Citation: spGARCH citation info
CRAN checks: spGARCH results

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