Generalised Network Autoregressive Processes and the GNAR package
This article introduces the GNAR package, which fits, predicts, and simulates from a powerful new class of generalised network autoregressive processes. Such processes consist of a multivariate time series along with a real, or inferred, network that provides information about inter-variable relatio...
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Sprache: | eng |
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Zusammenfassung: | This article introduces the GNAR package, which fits, predicts, and simulates
from a powerful new class of generalised network autoregressive processes. Such
processes consist of a multivariate time series along with a real, or inferred,
network that provides information about inter-variable relationships. The GNAR
model relates values of a time series for a given variable and time to earlier
values of the same variable and of neighbouring variables, with inclusion
controlled by the network structure. The GNAR package is designed to fit this
new model, while working with standard ts objects and the igraph package for
ease of use. |
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DOI: | 10.48550/arxiv.1912.04758 |