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spGARCH (version 0.2.3)

Spatial ARCH and GARCH Models (spGARCH)

Description

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) : 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.

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Version

Install

install.packages('spGARCH')

Monthly Downloads

192

Version

0.2.3

License

GPL

Maintainer

Philipp Otto

Last Published

April 9th, 2025

Functions in spGARCH (0.2.3)

spGARCH

spGARCH - Package to fit spatial ARCH models
sim.spGARCH

Simulation of spatial ARCH models
summary.spARCH

Summary for spARCH object
spARCH

Output of Quasi-Maximum-Likelihood Estimation
logLik.spARCH

Extract logarithmic likelihood
extractAIC.spARCH

Computes the Akaike information criterion
qml.spARCH

Maximum-likelihood estimation of a spatial ARCH model
residuals.spARCH

Extract model residuals
prostate_cancer

Logarithmic incidence rates of prostate cancer and covariates
sim.spARCH

Simulation of spatial ARCH models
qml.SARspARCH

Maximum-likelihood estimation of a spatial autoregressive model with spatial ARCH residuals
plot.spARCH

Descriptive plots for residuals of a fitted spatial ARCH model
fitted.spARCH

Extract model fitted values