Man pages for uGMAR
Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

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 stricly 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
changeRegimeChange the specified regime of parameter vector to the given...
checkAndCorrectDataCheck that the data is set correctly and correct if not
checkConstraintMatCheck 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
checkPMCheck that p and M are correctly set
condmomentPlotCondinional mean or variance plot for GMAR, StMAR, and...
condMomentsCalculate conditional moments of GMAR, StMAR, or G-StMAR...
diagnosticPlotQuantile residual based diagnostic plots for GMAR, StMAR, and...
extractRegimeExtract 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_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...
getOmegaGenerate the covariance matrix Omega for quantile residual...
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_varying_hGet differences 'h' which are adjusted for overly large...
GSMARCreate object of class 'gsmar' defining a GMAR, StMAR, or...
isStationaryCheck the stationary condition of specified GMAR, StMAR, or...
isStationary_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
mixingWeightsCalculate mixing weights of GMAR, StMAR or G-StMAR model
mixingWeights_intCalculate mixing weights of a GMAR, StMAR, or G-StMAR model
nParamsCalculate the number of parameters
parameterChecksCheck 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-likehoods around the estimates
quantileResidualPlotPlot quantile residual time series and histogram
quantileResidualsCompute quantile residuals of GMAR, StMAR, or G-StMAR model
quantileResiduals_intCompute quantile residuals of GMAR, StMAR, or G-StMAR model
quantileResidualTestsQuantile residual tests for GMAR, StMAR , and G-StMAR models
random_arcoefsCreate random AR coefficients
randomIndividualCreate random GMAR, StMAR, or G-StMAR model compatible...
randomIndividual_intCreate random GMAR, StMAR, or G-StMAR model compatible...
random_regimeCreate random regime parameters
reformConstrainedParsReform parameter vector with linear constraints to correspond...
reformParametersReform any parameter vector into standard form.
reformRestrictedParsReform parameter vector with restricted autoregressive...
regime_distanceCalculate "distance" between two regimes
removeAllConstraintsTransform constrained and restricted parameter vector into...
simudataSimulated data
simulateGSMARSimulate values from GMAR, StMAR, and G-StMAR processes
sortComponentsSort the mixture components of a GMAR, StMAR, or G-StMAR...
standardErrorsCalculate standard errors for estimates of a GMAR, StMAR, or...
stmarpars_to_gstmarTransform a StMAR model parameter vector to a corresponding...
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
uGMARuGMAR: Estimate Univariate Gaussian and Student's t Mixture...
uncondMomentsCalculate unconditional mean, variance, first p...
uncondMoments_intCalculate unconditional mean, variance, and the first p...
warn_dfsWarn about large degrees of freedom parameter values
uGMAR documentation built on April 4, 2020, 5:07 p.m.