Updates

• Apr 2025
  • Added tsissm package
• Nov 2024
  • Added tsmarch package vignette.
  • Changed R PACKAGES page.
• Apr 2024
  • Update to the tsgarch package documentation to conform to the newly released version on CRAN.
• Jan 2024
  • A new python package called tspydistributions has been released to PYPI. Documentation is available here. This is similar to the R package tsdistributions, providing the same types of location scale statistical distributions, but for Python.
• May 2023
  • An online vignette for the tstests package added.
  • The tstests [0.1.0] package has been added together with an online vignette. This ports many of the tests in rugarch, replacing the expected shortfall test of McNeil with that of Du and Escanciano, adding more details to the output and better printing and formatting options (as_flextable available for all tests). The density test of Hong-Li and the Model Confidence Set of Hansen will be added at a later date.
  • tsgam [0.3.0]. A multivariate GAM model has been added which at a minimum is a wrapper for multiple estimation and prediction of a set of series in a convenient wrapper, with the caveat that they share a common formula, while also allowing pooled estimation as well as forecasts with coupled uncertainty via the use of a copula.