# glarma v1.6-0

Monthly downloads

## Generalized Linear Autoregressive Moving Average Models

Functions are provided for estimation, testing, diagnostic checking and forecasting of generalized linear autoregressive moving average (GLARMA) models for discrete valued time series with regression variables. These are a class of observation driven non-linear non-Gaussian state space models. The state vector consists of a linear regression component plus an observation driven component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals. Currently three distributions (Poisson, negative binomial and binomial) can be used for the response series. Three options (Pearson, score-type and unscaled) for the residuals in the observation driven component are available. Estimation is via maximum likelihood (conditional on initializing values for the ARMA process) optimized using Fisher scoring or Newton Raphson iterative methods. Likelihood ratio and Wald tests for the observation driven component allow testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation functions and probability integral transform residuals are included in the package. Several standard data sets are included in the package.

## Functions in glarma

Name | Description | |

fitted.glarma | Extract GLARMA Model Fitted Values | |

residuals.glarma | Extract GLARMA Model Residuals | |

paramGen | Parameter Generators | |

coef.glarma | Extract GLARMA Model Coefficients | |

extractAIC.glarma | Extract AIC from a GLARMA Model | |

glarma | Generalized Linear Autoregressive Moving Average Models with Various Distributions | |

initial | Initial Parameter Generator for GLARMA from GLM | |

summary.glarma | Summarize GLARMA Fit | |

PIT | Non-randomized Probability Integral Transformation | |

model.frame.glarma | Extracting the Model Frame of the GLARMA Model | |

mySolve | Matrix Inversion of the Hessian of the Log-Likelihood | |

OxBoatRace | Oxford-Cambridge Boat Race | |

Asthma | Daily Presentations of Asthma at Campbelltown Hospital | |

nobs.glarma | Extract the Number of Observations from a GLARMA Model Fit | |

forecast | Forecasting GLARMA time series | |

DriverDeaths | Single Vehicle Nighttime Driver Deaths in Utah | |

plotPIT | PIT Plots for a glarma Object | |

plot.glarma | Plot Diagnostics for a glarma Object | |

Polio | Cases of Poliomyelitis in the U.S. | |

RobberyConvict | Court Convictions for Armed Robbery in New South Wales | |

logLik.glarma | Extract Log-Likelihood from GLARMA Models | |

likTests | Likelihood Ratio Test and Wald Test for GLARMA Fit | |

normRandPIT | Random normal probability integral transformation | |

No Results! |

## Vignettes of glarma

Name | ||

glarma.Rnw | ||

glarma.bib | ||

No Results! |

## Last month downloads

## Details

Type | Package |

Date | 2018-02-07 |

VignetteBuilder | knitr |

License | GPL (>= 2) |

Packaged | 2018-02-07 03:40:49 UTC; dsco036 |

NeedsCompilation | no |

Repository | CRAN |

Date/Publication | 2018-02-07 04:26:47 UTC |

suggests | knitr , RUnit , zoo |

imports | MASS |

depends | R (>= 2.3.0) |

Contributors | David Scott, William TM Dunsmuir, Cenanning Li |

#### Include our badge in your README

```
[![Rdoc](http://www.rdocumentation.org/badges/version/glarma)](http://www.rdocumentation.org/packages/glarma)
```