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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