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. Also general linear constraints and restricting autoregressive parameters to be the same for all regimes are supported. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>, Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) <arXiv:1805.04010>.

Package details

AuthorSavi Virolainen [aut, cre]
MaintainerSavi Virolainen <[email protected]>
Package repositoryView on CRAN
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uGMAR documentation built on Sept. 22, 2018, 5:03 p.m.