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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
Browse package contents
Package details |
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| Author | Georgi N. Boshnakov [aut, cre], Davide Ravagli [aut] |
| Maintainer | Georgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk> |
| License | GPL (>= 2) |
| Version | 0.22.7 |
| URL | https://geobosh.github.io/mixAR/ (website) https://github.com/GeoBosh/mixAR/ (devel) |
| Package repository | View on CRAN |
| Installation |
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