Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR), Student's t Mixture Autoregressive (StMAR) and Gaussian and Student's t Mixture Autoregressive (GStMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and GStMAR 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 


Author  Savi Virolainen [aut, cre] 
Maintainer  Savi Virolainen <[email protected]> 
License  GPL3 
Version  3.0.1 
Package repository  View on CRAN 
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