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

Package details

AuthorLuis Hernando Vanegas [aut, cre], Sergio Alejandro Calderón [aut], Luz Marina Rondón [aut]
MaintainerLuis Hernando Vanegas <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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mtarm documentation built on June 22, 2024, 9:50 a.m.