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) <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 [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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