Burn-in-Free Simulation and Analysis of Gaussian VARMA Models
Overview
Simulates Gaussian vector autoregressive-moving-average time-series models without a burn-in period by drawing startup shocks from their model-implied conditional distribution. Also provides model test cases, autocovariances, spectral radii, and impulse responses.
- Added an empirical example using European stock-index returns and expanded repository statistical tests, benchmark analysis, and documentation following SoftwareX review.
- Improved portability for builds using link-time optimization (LTO), as requested by CRAN.
From NEWS.md in the release
Install
Health
- OK13 OKNow
- OK6 OK2026-09-13
Documentation
- Help pages
- 6 (1 internal)includes a package overview page
- Examples that run
- 100%5 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 88%
- Return-value docs
- 100%
- Help pages citing references
- 0%
Downloads
Repository
Commits over time
2 development-tooling and community-health practices detected across 2 families in the upstream repository
Checks run against github.com/jonasson2/varmapack on 2026-10-25.
Dependencies
Installing varmapack adds 2 packages (1 with compiled code, 178 KB of source tarballs). Heaviest: randompack 115 KB, R6 63 KB.
Code & Tests
People & History
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- 0.1.2Latest
- 0.1.12026-09-12
- RR 4.6.0 released · 2026-04-24
Package metadata
- First published
- 2026-09-12
- Total releases
- 2 / 1 yrs
- License
- MIT + file LICENSE OSI
- Minimum R
- ≥ 4.0.0
- Download size
- 70 KB
Cite
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