mixAR: Mixture Autoregressive Models

Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) <doi:10.1111/1467-9868.00222>, Boshnakov (2009) <doi:10.1016/j.spl.2009.04.009>), and the extensive references in the documentation.

Getting started

Package details

AuthorGeorgi N. Boshnakov [aut, cre], Davide Ravagli [aut]
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
URL https://geobosh.github.io/mixAR/ (website) https://github.com/GeoBosh/mixAR/ (devel)
Package repositoryView on CRAN
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mixAR documentation built on Jan. 4, 2021, 5:07 p.m.