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mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models
Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.
Getting started
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Package details |
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| Author | Luis Hernando Vanegas [aut, cre], Sergio Alejandro Calderón [aut], Luz Marina Rondón [aut] |
| Maintainer | Luis Hernando Vanegas <lhvanegasp@unal.edu.co> |
| License | GPL-2 | GPL-3 |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
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