uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

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 (2021) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (2021) <doi:10.1515/snde-2020-0060>.

Package details

AuthorSavi Virolainen [aut, cre]
MaintainerSavi Virolainen <savi.virolainen@helsinki.fi>
LicenseGPL-3
Version3.4.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("uGMAR")

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uGMAR documentation built on Sept. 5, 2021, 5:17 p.m.