Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

changeRegime | Change the specified regime of parameter vector to the given... |

checkAndCorrectData | Check the data is set correctly and correct if not |

checkConstraintMat | Check constraint matrices R |

checkLogicals | Check that the logical arguments StMAR and GStMAR don't... |

checkPM | Check p and M are correctly set |

extractRegime | Extract regime from a parameter vector |

fitGMAR | Estimate Gaussian or Student's t Mixture Autoregressive model |

forecastGMAR | Forecast GMAR, StMAR or G-StMAR process |

GAfit | Genetic algorithm for preliminary estimation of GMAR, StMAR... |

getOmega | Generate covariance matrix omega for quantile residual tests |

isStationary | Check the stationary condition of specified GMAR, StMAR or... |

isStationary_int | Check the stationary and identification conditions of... |

loglikelihood | Compute the log-likelihood of Gaussian or/and Student's t... |

loglikelihood_int | Compute the log-likelihood of Gaussian or/and Student's t... |

mixingWeights | Calculate mixing weights of GMAR, StMAR or G-StMAR model |

mixingWeights_int | Calculate mixing weights of GMAR, StMAR or G-StMAR model |

nParams | Calculate the number of parameters |

parameterChecks | Check the parameter vector is specified correctly |

plotGMAR | Quantile residual based diagnostic plots for GMAR, StMAR and... |

quantileResiduals | Compute quantile residuals of GMAR, StMAR or G-StMAR model |

quantileResiduals_int | Compute quantile residuals of GMAR, StMAR or G-StMAR model |

quantileResidualTests | Quantile residual tests for GMAR, StMAR or G-StMAR model |

randomIndividual | Create somewhat random GMAR, StMAR or G-StMAR model... |

randomIndividual_int | Create random GMAR, StMAR or G-StMAR model compatible... |

reformConstrainedPars | Reform parameter vector with linear constraints to correspond... |

reformParameters | Reform any parameter vector into standard form. |

simulateGMAR | Simulate values from GMAR, StMAR or G-StMAR process |

sortComponents | Sort the mixture components of GMAR, StMAR or G-StMAR model |

standardErrors | Calculate standard errors for estimates of GMAR, StMAR or... |

VIX | CBOE Volatility Index: VIX |

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