The glarma Package for Observation-Driven Time Series Regression of Counts

William T. M. Dunsmuir, David J. Scott

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Abstract

We review the theory and application of generalized linear autoregressive moving average observation-driven models for time series of counts with explanatory variables and describe the estimation of these models using the R package glarma. Forecasting, diagnostic and graphical methods are also illustrated by several examples.

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