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VGAMextra (version 0.0-8)

Additions and Extensions of the 'VGAM' Package

Description

Extending the functionalities of the 'VGAM' package with additional functions and datasets. At present, 'VGAMextra' comprises new family functions (ffs) to estimate several time series models by maximum likelihood using Fisher scoring, unlike popular packages in CRAN relying on optim(), including ARMA-GARCH-like models, the Order-(p, d, q) ARIMAX model (non- seasonal), the Order-(p) VAR model, error correction models for cointegrated time series, and ARMA-structures with Student-t errors. For independent data, new ffs to estimate the inverse- Weibull, the inverse-gamma, the generalized beta of the second kind and the general multivariate normal distributions are available. In addition, 'VGAMextra' incorporates new VGLM-links for the mean-function, and the quantile-function (as an alternative to ordinary quantile modelling) of several 1-parameter distributions, that are compatible with the class of VGLM/VGAM family functions. Currently, only fixed-effects models are implemented. All functions are subject to change; see the NEWS for further details on the latest changes.

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Version

Install

install.packages('VGAMextra')

Monthly Downloads

1,083

Version

0.0-8

License

GPL-2

Maintainer

Victor Miranda

Last Published

August 21st, 2025

Functions in VGAMextra (0.0-8)

Q.reg

Conditional quantile regression with VGAM
ARMA.studentt.ff

VGLTSMs Family Functions: Generalized autoregressive moving average model with Student-t errors
MAXff

VGLTSMs Family Functions: Order--q Moving Average Model with covariates
HKdata

Air pollution and hospital admissions due to respiratory and cardiovascular causes, Hong Kong.
ECM.EngleGran

VGLTSM family function for the Two--dimensional Error--Correction Model (Engle and Granger, 1987) for \(I(1)\)--variables
KPSS.test

KPSS tests for stationarity
ARIMAXff

VGLTSMs Family functions: The Order--\((p, d, q)\) Autoregressive Integrated Moving Average Model (ARIMA(p, d, q)) with covariates
ARIMAX.errors.ff

VGLTSMs Family Functions: Generalized integrated regression with order--\((p, q)\) ARMA errors
MVNcov

Multivariate Normal Distribution Family Function
ARXff

VGLTSMs family functions: Order--p Autoregressive Model with covariates
WN.InitARMA

Estimated White Noise (WN) from the autoregressive moving-average model of order-(\(p\), \(q\)) [ARMA(\(p\), \(q\))].
checkTS.VGAMextra

Polynomial roots based on transfer operators in Vector Generalized Time Series Family Functions
break.VGAMextra

Names/Value of linear predictors/parameters in time series family functions.
benini1Qlink

Link functions for the quantiles of several 1--parameter continuous distributions
ap.mx

Air pollution Data, Mexico City.
VARff

VGLTSM family function for the Order--\(p\) Vector Auto(R)egressive Model
UtilitiesVGAMextra

Utility Functions for the VGAMextra Package
cm.ARMA

Constraint matrices for vector generalized time series family functions.
borel.tannerMlink

Link functions for the mean of 1--parameter discrete distributions: The Borel--Tanner distribution.
VGAMextra-package

Additions and extensions of the VGAM package.
gammaRMlink

Link functions for the mean of 2--parameter continuous distributions: The gamma distribution.
genbetaIIDist

The Generalized Beta Distribution of the Second King
dmultinorm

Density for the multivariate Normal distribution
gen.betaIImr

Generalized Beta Distribution of the Second Kind family function
gamma1Qlink

Link functions for the quantiles of several 1--parameter continuous distributions
expQlink

Link functions for the quantiles of several 1--parameter continuous distributions.
expMlink

Link functions for the mean of 1--parameter continuous distributions: The exponential distribution.
geometricffMlink

Link functions for the mean of 1--parameter discrete distributions: The Geometric Distribution.
inv.chisqMlink

Link functions for the mean of 1--parameter continuous distributions: The inverse chi--squared distribution.
gammaRff

2--parameter Gamma Distribution
invweibullDist

The Inverse Weibull Distribution
logffMlink

Link functions for the mean of 1--parameter discrete distributions: The Logarithmic Distribuion.
invgamma2mr

2 - parameter Inverse Gamma Distribution
normal1sdff

Estimation and Inference for Conditional Quantiles of a 1--parameter Univariate Normal Distribution.
inv.chisqDist

The Inverse Chi--squared Distribution
inv.chisqff

Inverse Chi--squared Distribution.
invgammaDist

The Inverse Gamma Distribution
newtonRaphson.basic

Newton--Raphson algorithm
maxwellQlink

Link functions for the quantiles of several 1--parameter continuous distributions
invweibull2mr

2- parameter Inverse Weibull Distribution
truncLognormal

The Truncated Log-Normal Distribution
toppleQlink

Link functions for the quantiles of several 1--parameter continuous distributions
rayleighMlink

Link functions for the mean of 1--parameter continuous distributions: The Rayleigh and the Maxwell distributions.
notDocumentedYetVGAMextra

Not-documented functions and classes in VGAMextra
summaryS4VGAMextra-methods

Summary methods for Vector Generalized Time Series Models
posPoiMlink

Link functions for the mean of 1--parameter discrete distributions: The Positive Poisson Distribution.
normal1sdQlink

Link functions for the quantiles of several 1--parameter continuous distributions.
toppleMlink

Link functions for the mean of 1--parameter continuous distribution: The Topp--Leone distribution.
rayleighQlink

Link functions for the quantiles of several 1--parameter continuous distributions
trinormalCovff

Trivariate Normal Distribution Family Function
vgltsmff

Class of Vector Generalized Linear Time Series Models
weibullMlink

Link functions for the mean of 2--parameter continuous distributions: The Weibull distribution.
weibullQlink

Weibull Quantile regression: Link function for the quantiles of the Weibull distribution.
truncnormal

Truncated normal Distribution Family Function
trunclognormal

Truncated Log-normal Distribution Family Function
weibullRff

Distribution--specified quantile regression: 2--parameter Weibull Distribution
uninormalQlink

Quantile regression: Link function for the quantiles of the normal distribution.
undocumented-methods

Undocumented Methods Functions in VGAMextra
uninormalff

Normal (distribution--specified) quantile regression
truncNormal

The Truncated Normal Distribution
zetaffMlink

Link functions for the mean of 1--parameter discrete distributions: The Zeta Distribution.
yulesimonMlink

Link functions for the mean of 1--parameter discrete distributions: The Yule--Simon Distribution.