Package: wARMASVp
Type: Package
Title: Winsorized ARMA Estimation for Higher-Order Stochastic
        Volatility Models
Version: 0.2.0
Authors@R: c(
    person("Gabriel", "Rodriguez-Rondon",
           email = "gabriel.rodriguezrondon@mail.mcgill.ca",
           role = c("aut", "cre"),
           comment = c(ORCID = "0009-0005-3769-9921")),
    person("Md. Nazmul", "Ahsan", role = "aut"),
    person("Jean-Marie", "Dufour", role = "aut"))
Description: Estimation, simulation, hypothesis testing, AR-order selection,
    and forecasting for univariate higher-order stochastic volatility SV(p)
    models. Supports Gaussian, Student-t, and Generalized Error Distribution
    (GED) innovations, with optional leverage effects. Estimation uses
    closed-form Winsorized ARMA-SV (W-ARMA-SV) moment-based methods that
    avoid numerical optimization. Hypothesis testing includes Local Monte
    Carlo (LMC) and Maximized Monte Carlo (MMC) procedures for leverage
    effects, heavy tails, and autoregressive order. AR-order selection is
    also available via information criteria (BIC/AIC) using the Kalman-filter
    quasi-likelihood and the Hannan-Rissanen ARMA residual variance.
    Forecasting is based on Kalman filtering and smoothing. See Ahsan and
    Dufour (2021) <doi:10.1016/j.jeconom.2021.03.008>, Ahsan, Dufour, and
    Rodriguez-Rondon (2025) <doi:10.1111/jtsa.12851>, and Ahsan, Dufour, and
    Rodriguez-Rondon (2026) <doi:10.34989/swp-2026-8> for details.
License: GPL (>= 3)
URL: https://github.com/roga11/wARMASVp
BugReports: https://github.com/roga11/wARMASVp/issues
Encoding: UTF-8
Imports: Rcpp (>= 1.0.0), gsignal, stats
Suggests: pso, GenSA, testthat (>= 3.0.0), knitr, rmarkdown
LinkingTo: Rcpp, RcppArmadillo
RoxygenNote: 7.3.3
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2026-05-15 12:58:15 UTC; gabrielrodriguez
Author: Gabriel Rodriguez-Rondon [aut, cre] (ORCID:
    <https://orcid.org/0009-0005-3769-9921>),
  Md. Nazmul Ahsan [aut],
  Jean-Marie Dufour [aut]
Maintainer: Gabriel Rodriguez-Rondon <gabriel.rodriguezrondon@mail.mcgill.ca>
Repository: CRAN
Date/Publication: 2026-05-15 15:50:01 UTC
Built: R 4.5.3; x86_64-w64-mingw32; 2026-08-24 02:27:53 UTC; windows
Archs: x64
