ScoreDrivenModels.jl Documentation

ScoreDrivenModels.jl is a Julia package for modeling, forecasting, and simulating time series with score-driven models, also known as generalized autoregressive score models (GAS). Implementations are based on the paper Generalized Autoregressive Models with Applications by D. Creal, S. J. Koopman, and A. Lucas.

Installation

This package is registered so you can simply add it using Julia's Pkg manager:

pkg> add ScoreDrivenModels

Citing the package

If you use ScoreDrivenModels.jl in your work, we kindly ask you to cite the package paper:

@article{bodin2020scoredrivenmodels,
    title={ScoreDrivenModels. jl: a Julia Package for Generalized Autoregressive Score Models},
    author={Bodin, Guilherme and Saavedra, Raphael and Fernandes, Cristiano and Street, Alexandre},
    journal={arXiv preprint arXiv:2008.05506},
    year={2020}
}

Contributing

Contributions to this package are more than welcome, if you find a bug or have any suggestions for the documentation please post it on the github issue tracker.

When contributing please note that the package follows the JuMP style guide.