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uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR), Student's t Mixture Autoregressive (StMAR), and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>, Mika Meitz, Daniel Preve, Pentti Saikkonen (2023) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (2022) <doi:10.1515/snde-2020-0060>.
Browse package contents
Package details |
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| Author | Savi Virolainen [aut, cre] (<https://orcid.org/0000-0002-5075-6821>) |
| Maintainer | Savi Virolainen <savi.virolainen@helsinki.fi> |
| License | GPL-3 |
| Version | 3.5.2 |
| Package repository | View on CRAN |
| Installation |
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