Package: starvars 1.1.10

Andrea Bucci

starvars: Vector Logistic Smooth Transition Models Estimation and Prediction

Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).

Authors:Andrea Bucci [aut, cre, cph], Giulio Palomba [aut], Eduardo Rossi [aut], Andrea Faragalli [ctb]

starvars_1.1.10.tar.gz
starvars_1.1.10.zip(r-4.5)starvars_1.1.10.zip(r-4.4)starvars_1.1.10.zip(r-4.3)
starvars_1.1.10.tgz(r-4.4-any)starvars_1.1.10.tgz(r-4.3-any)
starvars_1.1.10.tar.gz(r-4.5-noble)starvars_1.1.10.tar.gz(r-4.4-noble)
starvars_1.1.10.tgz(r-4.4-emscripten)starvars_1.1.10.tgz(r-4.3-emscripten)
starvars.pdf |starvars.html
starvars/json (API)

# Install 'starvars' in R:
install.packages('starvars', repos = c('https://andbucci.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/andbucci/starvars/issues

Datasets:
  • Realized - Monthly time series used to test VLSTAR models.
  • Sample5minutes - Ten simulated prices series for 19 trading days in January 2010.
  • techprices - Daily closing prices of 3 tech stocks.

On CRAN:

3.30 score 4 stars 3 scripts 228 downloads 7 exports 81 dependencies

Last updated 3 years agofrom:c4b8fcb3bc. Checks:OK: 1 NOTE: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winNOTENov 01 2024
R-4.5-linuxNOTENov 01 2024
R-4.4-winNOTENov 01 2024
R-4.4-macNOTENov 01 2024
R-4.3-winNOTENov 01 2024
R-4.3-macNOTENov 01 2024

Exports:logLik.VLSTARlrvarbartmultiCUMSUMrcovstartingVLSTARVLSTARVLSTARjoint

Dependencies:base64encbslibcachemclicodetoolscolorspacecommonmarkcrayoncurldeldirDEoptimRdigestdoSNOWellipseevaluatefastmapFNNfontawesomeforeachfsgluehighrhtmltoolshttpuvinterpiteratorsjpegjquerylibjsonlitekernlabKernSmoothknitrkslaterlatticelatticeExtraleapslessRlifecyclelmtestmagrittrMASSMatrixmatrixcalcmclustmemoisemgcvmimemulticoolmvtnormnlmeopenxlsxoptimParallelpngpracmapromisesquantmodR6rappdirsRColorBrewerRcppRcppEigenrlangrobustbasesandwichsassshinysnowsourcetoolsstringistrucchangeTTRurcavarswithrxfunxtablextsyamlzipzoo