gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model

Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying general linear constraints to the autoregressive parameters is supported. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Package details

AuthorSavi Virolainen [aut, cre]
MaintainerSavi Virolainen <[email protected]>
Package repositoryView on CRAN
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gmvarkit documentation built on Sept. 22, 2018, 5:03 p.m.