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VGAMextra (version 0.0-7)

Additions and Extensions of the 'VGAM' Package

Description

Extending the functionalities of the 'VGAM' package with additional functions and datasets. At present, 'VGAMextra' comprises new family functions (ffs) to estimate several time series models by maximum likelihood using Fisher scoring, unlike popular packages in CRAN relying on optim(), including ARMA-GARCH-like models, the Order-(p, d, q) ARIMAX model (non- seasonal), the Order-(p) VAR model, error correction models for cointegrated time series, and ARMA-structures with Student-t errors. For independent data, new ffs to estimate the inverse- Weibull, the inverse-gamma, the generalized beta of the second kind and the general multivariate normal distributions are available. In addition, 'VGAMextra' incorporates new VGLM-links for the mean-function, and the quantile-function (as an alternative to ordinary quantile modelling) of several 1-parameter distributions, that are compatible with the class of VGLM/VGAM family functions. Currently, only fixed-effects models are implemented. All functions are subject to change; see the NEWS for further details on the latest changes.

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Version

Install

install.packages('VGAMextra')

Monthly Downloads

1,046

Version

0.0-7

License

GPL-2

Maintainer

Victor Miranda

Last Published

February 12th, 2025

Functions in VGAMextra (0.0-7)

KPSS tests for stationarity

ARIMAX.errors.ff

VGLTSMs Family Functions: Generalized integrated regression with order--\((p, q)\) ARMA errors

ARMA.studentt.ff

VGLTSMs Family Functions: Generalized autoregressive moving average model with Student-t errors

Multivariate Normal Distribution Family Function

VGLTSMs family functions: Order--p Autoregressive Model with covariates

VGLTSMs Family functions: The Order--\((p, d, q)\) Autoregressive Integrated Moving Average Model (ARIMA(p, d, q)) with covariates

VGLTSMs Family Functions: Order--q Moving Average Model with covariates

Conditional quantile regression with VGAM

VGLTSM family function for the Two--dimensional Error--Correction Model (Engle and Granger, 1987) for \(I(1)\)--variables

Air pollution and hospital admissions due to respiratory and cardiovascular causes, Hong Kong.

Air pollution Data, Mexico City.

VGLTSM family function for the Order--\(p\) Vector Auto(R)egressive Model

UtilitiesVGAMextra

Utility Functions for the VGAMextra Package

Estimated White Noise (WN) from the autoregressive moving-average model of order-(\(p\), \(q\)) [ARMA(\(p\), \(q\))].

borel.tannerMlink

Link functions for the mean of 1--parameter discrete distributions: The Borel--Tanner distribution.

checkTS.VGAMextra

Polynomial roots based on transfer operators in Vector Generalized Time Series Family Functions

Constraint matrices for vector generalized time series family functions.

break.VGAMextra

Names/Value of linear predictors/parameters in time series family functions.

Link functions for the quantiles of several 1--parameter continuous distributions

VGAMextra-package

Additions and extensions of the VGAM package.

Link functions for the quantiles of several 1--parameter continuous distributions.

Link functions for the mean of 2--parameter continuous distributions: The gamma distribution.

geometricffMlink

Link functions for the mean of 1--parameter discrete distributions: The Geometric Distribution.

Link functions for the quantiles of several 1--parameter continuous distributions

The Generalized Beta Distribution of the Second King

Generalized Beta Distribution of the Second Kind family function

Density for the multivariate Normal distribution

2--parameter Gamma Distribution

Link functions for the mean of 1--parameter continuous distributions: The inverse chi--squared distribution.

Link functions for the mean of 1--parameter continuous distributions: The exponential distribution.

Link functions for the mean of 1--parameter discrete distributions: The Logarithmic Distribuion.

Link functions for the quantiles of several 1--parameter continuous distributions

Inverse Chi--squared Distribution.

newtonRaphson.basic

Newton--Raphson algorithm

The Inverse Chi--squared Distribution

The Inverse Weibull Distribution

The Inverse Gamma Distribution

Estimation and Inference for Conditional Quantiles of a 1--parameter Univariate Normal Distribution.

2- parameter Inverse Weibull Distribution

2 - parameter Inverse Gamma Distribution

Link functions for the mean of 1--parameter discrete distributions: The Positive Poisson Distribution.

The Truncated Log-Normal Distribution

Trivariate Normal Distribution Family Function

Link functions for the quantiles of several 1--parameter continuous distributions

summaryS4VGAMextra-methods

Summary methods for Vector Generalized Time Series Models

Link functions for the mean of 1--parameter continuous distributions: The Rayleigh and the Maxwell distributions.

Link functions for the quantiles of several 1--parameter continuous distributions

Link functions for the mean of 1--parameter continuous distribution: The Topp--Leone distribution.

Link functions for the quantiles of several 1--parameter continuous distributions.

notDocumentedYetVGAMextra

Not-documented functions and classes in VGAMextra

Class of Vector Generalized Linear Time Series Models

Quantile regression: Link function for the quantiles of the normal distribution.

Link functions for the mean of 2--parameter continuous distributions: The Weibull distribution.

Normal (distribution--specified) quantile regression

Weibull Quantile regression: Link function for the quantiles of the Weibull distribution.

Distribution--specified quantile regression: 2--parameter Weibull Distribution

Link functions for the mean of 1--parameter discrete distributions: The Yule--Simon Distribution.

Link functions for the mean of 1--parameter discrete distributions: The Zeta Distribution.

Truncated normal Distribution Family Function

undocumented-methods

Undocumented Methods Functions in VGAMextra

Truncated Log-normal Distribution Family Function

The Truncated Normal Distribution