Description

A package to fit, predict, and simulate time series using the Generalised Network AutoRegressive (GNAR) model. The main functions are GNARfit, which fits the model to a time series and network(s), S3 method predict.GNARfit which predicts from a fitted GNAR model, and GNARsim which simulates from a GNAR model with specified parameters. For details of the model, see GNARfit. The package also contains an example network time series in data file fiveNode, with network fiveNet, and simulated time series fiveVTS.

References

Knight, M.I., Nunes, M.A. and Nason, G.P. (2015) Modelling, detrending and decorrelation of network time series. arXiv preprint.

Knight, M.I., Leeming, K., Nason, G.P. and Nunes, M. A. (2020) Generalised Network Autoregressive Processes and the GNAR package. Journal of Statistical Software, 96 (5), 1–36.