Package: GAS
Type: Package
Title: Generalized Autoregressive Score Models
Version: 0.4.3
Authors@R: c(person("Leopoldo", "Catania", role = c("aut", "cre"),
             email = "leopoldo.catania@econ.au.dk",
             comment = c(ORCID = "0000-0002-0981-1921")),
             person("David", "Ardia", role = c("ctb"),
             email = "david.ardia.ch@gmail.com",
      			 comment = c(ORCID = "0000-0003-2823-782X")),
            person("Kris", "Boudt", role = c("ctb"),
             email = "kris.boudt@ugent.be",
             comment = c(ORCID = "0000-0002-1000-5142")))
Description: Simulation, estimation and forecasting of univariate and
        multivariate generalized autoregressive score models.
        Time-varying distributional parameters are updated using the
        score of the conditional distribution, with alternative score
        scaling specifications. Provides maximum likelihood estimation,
        filtering, density forecasting and rolling forecast evaluation
        for a range of conditional distributions. Includes diagnostic
        tools and methods for evaluating Value-at-Risk and Expected
        Shortfall forecasts. The models and their applications are
        described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.
License: GPL-3
BugReports: https://github.com/LeopoldoCatania/GAS/issues
URL: https://github.com/LeopoldoCatania/GAS
LazyData: TRUE
Imports: Rcpp (>= 0.12.2), Rsolnp, MASS, xts, numDeriv, zoo, cubature
LinkingTo: Rcpp, RcppArmadillo
Depends: R (>= 3.4.0), methods
Suggests: testthat
NeedsCompilation: yes
Author: Leopoldo Catania [aut, cre]
        (<https://orcid.org/0000-0002-0981-1921>), David Ardia [ctb]
        (<https://orcid.org/0000-0003-2823-782X>), Kris Boudt [ctb]
        (<https://orcid.org/0000-0002-1000-5142>)
Maintainer: Leopoldo Catania <leopoldo.catania@econ.au.dk>
Packaged: 2026-11-01 18:52:13 UTC; root
Config/pak/sysreqs: make
Repository: https://leopoldocatania.r-universe.dev
Date/Publication: 2026-10-30 10:08:36 UTC
RemoteUrl: https://github.com/leopoldocatania/gas
RemoteRef: HEAD
RemoteSha: 2c218c22dd305b95e02626755b48c84fe17117ff