gasmodel: Generalized Autoregressive Score Models

Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>. Model specification allows for various conditional distributions, different parametrizations, exogenous variables, joint and separate modeling of exogenous variables and dynamics,higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method and the Hessian matrix.

Version: 0.2.0
Depends: R (≥ 2.10)
Imports: abind, arrangements, Matrix, mvnfast, nloptr, numDeriv, pracma
Suggests: knitr, rmarkdown, testthat, tidyverse
Published: 2023-01-06
Author: Vladimír Holý ORCID iD [aut, cre]
Maintainer: Vladimír Holý <vladimir.holy at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: gasmodel results


Reference manual: gasmodel.pdf
Vignettes: Case Study: Bookshop Orders
Case Study: Ice Hockey Rankings
Probability Distributions


Package source: gasmodel_0.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): gasmodel_0.2.0.tgz, r-oldrel (arm64): gasmodel_0.2.0.tgz, r-release (x86_64): gasmodel_0.2.0.tgz, r-oldrel (x86_64): gasmodel_0.2.0.tgz
Old sources: gasmodel archive


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