Generalised Network Autoregressive Processes and the GNAR package

Abstract

This article introduces the GNAR package, which fits, predicts, and simulates from a powerful new class of generalised network autoregressive processes. Such processes consist of a multivariate time series along with a real, or inferred, network that provides information about inter-variable relationships. The GNAR model relates values of a time series for a given variable and time to earlier values of the same variable and of neighbouring variables, with inclusion controlled by the network structure. The GNAR package is designed to fit this new model, while working with standard ts objects and the igraph package for ease of use.