Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

aa_uGMAR | uGMAR: Estimate Univariate Gaussian or Student's t Mixture... |

add_data | Add data to object of class 'gsmar' defining a GMAR, StMAR or... |

add_dfs | Add random dfs to a vector |

all_pos_ints | Check whether all arguments are positive scalar whole numbers |

calc_gradient | Calculate gradient or Hessian matrix |

change_parametrization | Change parametrization of the parameter vector |

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

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

checkConstraintMat | Check the constraint matrices |

check_data | Check that given object contains data |

check_gsmar | Check that given object has class attribute 'gsmar' |

check_model | Check that the argument model is correctly specified. |

check_params_length | Check that the parameter vector has the correct dimension |

checkPM | Check p and M are correctly set |

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

extractRegime | Extract regime from a parameter vector |

fitGMAR | fitGMAR is deprecated |

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

forecastGMAR | forecastGMAR is deprecated |

format_valuef | Function factory for value formatting |

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

get_ar_roots | Calculate absolute values of the roots of the AR... |

get_IC | Calculate AIC, HQIC and BIC |

getOmega | Generate covariance matrix Omega for quantile residual tests |

get_regime_means | Calculate and return regime means mu_{m} |

GSMAR | Create object of class 'gsmar' defining a GMAR, StMAR or... |

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

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

iterate_more | Maximum likelihood estimation of GMAR, StMAR or G-StMAR model... |

loglikelihood | Compute the log-likelihood of GMAR, StMAR or G-StMAR model |

loglikelihood_int | Compute the log-likelihood of GMAR, StMAR or G-StMAR model |

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 |

pick_alphas | Pick mixing weights parameters from parameter vector |

pick_dfs | Pick degrees of freedom parameters from parameter vector |

pick_pars | Pick phi_0/mu, AR-coefficients and variance parameters from... |

pick_phi0 | Pick phi0 or mean parameters from parameter vector |

plotGMAR | plotGMAR is deprecated |

plot.gsmarpred | plot method for class 'gsmarpred' objects |

predict.gsmar | Forecast GMAR, StMAR or G-StMAR process |

print.gsmarpred | print method for class 'gsmarpred' objects |

print.gsmarsum | Print method from objects of class 'gsmarsum' |

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... |

random_regime | Create random regime |

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

reformParameters | Reform any parameter vector into standard form. |

reformRestrictedPars | Reform parameter vector with restricted autoregressive... |

regime_distance | Calculate "distance" between two regimes |

removeAllConstraints | Transform constrainted and restricted parameter vector into... |

simulateGMAR | simulateGMAR is deprecated |

simulateGSMAR | 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... |

swap_parametrization | Swap the parametrization of object of class 'gsmar' defining... |

VIX | CBOE Volatility Index: VIX |

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