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In gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
gmvarkit-package R Documentation
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
Description
gmvarkit is a package for reduced form and structural Gaussian mixture vector
autoregressive (GMVAR), Student's t Mixture Vector Autoregressive (StMVAR),
or Gaussian and Student's t Mixture Vector Autoregressive (G-StMVAR) model analysis.
It provides functions for unconstrained and constrained maximum likelihood estimation of the model parameters,
quantile residuals tests, graphical diagnostics, estimation of generalized impulse response function,
estimation of generalized forecast error variance decomposition, simulation from GMVAR processes,
forecasting, and more.
The readme file is a good place to start and the vignette might be useful too.
Author(s)
Maintainer: Savi Virolainen savi.virolainen@helsinki.fi
See Also
Useful links:
Report bugs at https://github.com/saviviro/gmvarkit/issues
gmvarkit documentation built on Nov. 15, 2023, 1:07 a.m.
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| gmvarkit-package | R Documentation |
gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
Description
gmvarkit is a package for reduced form and structural Gaussian mixture vector
autoregressive (GMVAR), Student's t Mixture Vector Autoregressive (StMVAR),
or Gaussian and Student's t Mixture Vector Autoregressive (G-StMVAR) model analysis.
It provides functions for unconstrained and constrained maximum likelihood estimation of the model parameters,
quantile residuals tests, graphical diagnostics, estimation of generalized impulse response function,
estimation of generalized forecast error variance decomposition, simulation from GMVAR processes,
forecasting, and more.
The readme file is a good place to start and the vignette might be useful too.
Author(s)
Maintainer: Savi Virolainen savi.virolainen@helsinki.fi
See Also
Useful links:
Report bugs at https://github.com/saviviro/gmvarkit/issues
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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