Tag Archives: GAS
Non gaussian time-series, let’s handle it with score driven models!
By Henrique Helfer Motivation Until very recently, only a very limited classes of feasible non Gaussian time series models were available. For example, one could use extensions of state space models to non Gaussian environments (see, for example, Durbin and … Continue reading
Posted in R
Tagged Dynamic Conditional Score, GAS, Generalized Autorregressive Score models, insightr, R, R blog
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insightR 