Man pages for uGMAR
Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

add_dataAdd data to object of class 'gsmar' defining a GMAR, StMAR,...
add_dfsAdd random dfs to a vector
all_pos_intsCheck whether all arguments are strictly positive natural...
alt_gsmarConstruct a GSMAR model based on results from an arbitrary...
calc_gradientCalculate gradient or Hessian matrix
change_parametrizationChange parametrization of a parameter vector
change_regimeChange the specified regime of parameter vector to the given...
check_and_correct_dataCheck that the data is set correctly and correct if not
check_constraint_matCheck the constraint matrices
check_dataCheck that given object contains data
check_gsmarCheck that given object has class attribute 'gsmar'
check_modelCheck that the argument 'model' is correctly specified.
check_params_lengthCheck that the parameter vector has the correct dimension
check_pMCheck that p and M are correctly set
cond_moment_plotConditional mean or variance plot for GMAR, StMAR, and...
condmomentPlotDEPRECATED, USE 'cond_moment_plot' INSTEAD! Conditional mean...
cond_momentsCalculate conditional moments of GMAR, StMAR, or G-StMAR...
condMomentsDEPRECATED, USE 'cond_moments' INSTEAD! Calculate conditional...
diagnostic_plotQuantile residual based diagnostic plots for GMAR, StMAR, and...
diagnosticPlotDEPRECATED, USE 'diagnostic_plot' INSTEAD! Quantile residual...
extract_regimeExtract regime from a parameter vector
fitGSMAREstimate Gaussian or Student's t Mixture Autoregressive model
format_valuefFunction factory for formatting values
GAfitGenetic algorithm for preliminary estimation of GMAR, StMAR,...
get_alpha_mtGet mixing weights alpha_mt (this function is for internal...
get_ar_rootsCalculate absolute values of the roots of the AR...
get_ICCalculate AIC, HQIC and BIC
get_minvalReturns the default smallest allowed log-likelihood for given...
get_regime_autocovsCalculate regime specific autocovariances *gamma*_{m,p}
get_regime_meansCalculate regime specific means mu_{m}
get_regime_varsCalculate regime specific variances gamma_{m,0}
get_test_OmegaGenerate the covariance matrix Omega for quantile residual...
get_varying_hGet differences 'h' which are adjusted for overly large...
GSMARCreate object of class 'gsmar' defining a GMAR, StMAR, or...
is_stationaryCheck the stationary condition of specified GMAR, StMAR, or...
isStationaryDEPRECATED, USE 'is_stationary' INSTEAD! Check the stationary...
is_stationary_intCheck the stationarity and identification conditions of...
iterate_moreMaximum likelihood estimation of GMAR, StMAR, or G-StMAR...
loglikelihoodCompute the log-likelihood of GMAR, StMAR, or G-StMAR model
loglikelihood_intCompute the log-likelihood of GMAR, StMAR, or G-StMAR model
LR_testPerform likelihood ratio test
M10Y1YSpread between 10-Year and 1-Year Treasury rates: M10Y1Y
mixing_weightsCalculate mixing weights of GMAR, StMAR or G-StMAR model
mixingWeightsDEPRECATED, USE 'mixing_weights' INSTEAD! Calculate mixing...
mixing_weights_intCalculate mixing weights of a GMAR, StMAR, or G-StMAR model
n_paramsCalculate the number of parameters
parameter_checksCheck the parameter vector is specified correctly
pick_alphasPick mixing weights parameters from parameter vector
pick_dfsPick degrees of freedom parameters from a parameter vector
pick_parsPick phi_0 (or mu), AR-coefficients, and variance parameters...
pick_phi0Pick phi0 or mean parameters from parameter vector
plot.gsmarpredPlot method for class 'gsmarpred' objects
predict.gsmarForecast GMAR, StMAR, or G-StMAR process
print.gsmarpredPrint method for class 'gsmarpred' objects
print.gsmarsumPrint method from objects of class 'gsmarsum'
profile_logliksPlot profile log-likelihoods around the estimates
quantile_residual_plotPlot quantile residual time series and histogram
quantileResidualPlotDEPRECATED, USE 'quantile_residual_plot' INSTEAD! Plot...
quantile_residualsCompute quantile residuals of GMAR, StMAR, or G-StMAR model
quantileResidualsDEPRECATED, USE 'quantile_residuals' INSTEAD! Compute...
quantile_residuals_intCompute quantile residuals of GMAR, StMAR, or G-StMAR model
quantile_residual_testsQuantile residual tests for GMAR, StMAR , and G-StMAR models
quantileResidualTestsDEPRECATED, USE 'quantile_residual_tests' INSTEAD! Quantile...
random_arcoefsCreate random AR coefficients
random_indCreate random GMAR, StMAR, or G-StMAR model compatible...
random_ind_intCreate random GMAR, StMAR, or G-StMAR model compatible...
randomIndividualDEPRECATED, USE 'random_ind' OR 'smart_ind' INSTEAD! Create...
random_regimeCreate random regime parameters
reform_constrained_parsReform parameter vector with linear constraints to correspond...
reform_parametersReform any parameter vector into standard form.
reform_restricted_parsReform parameter vector with restricted autoregressive...
regime_distanceCalculate "distance" between two regimes
remove_all_constraintsTransform constrained and restricted parameter vector into...
simudataSimulated data
simulate.gsmarSimulate obsercations from GMAR, StMAR, and G-StMAR processes
simulateGSMARDEPRECATED, USE 'simulate.gsmar' INSTEAD! Simulate...
sort_componentsSort the mixture components of a GMAR, StMAR, or G-StMAR...
standard_errorsCalculate standard errors for estimates of a GMAR, StMAR, or...
stmarpars_to_gstmarTransform a StMAR or G-StMAR model parameter vector to a...
stmar_to_gstmarEstimate a G-StMAR model based on a StMAR model with large...
swap_parametrizationSwap the parametrization of object of class 'gsmar' defining...
T10Y1YSpread between 10-Year and 1-Year Treasury rates: T10Y1Y
TBFFSpread between the 3-month Treasury bill rate and the...
uGMARuGMAR: Estimate Univariate Gaussian and Student's t Mixture...
uncond_momentsCalculate unconditional mean, variance, first p...
uncond_moments_intCalculate unconditional mean, variance, and the first p...
Wald_testPerform Wald test
warn_ar_rootsWarn about near-unit-roots in some regimes
warn_dfsWarn about large degrees of freedom parameter values
uGMAR documentation built on Jan. 19, 2022, 1:08 a.m.