Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

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

add_dfs | Add random dfs to a vector |

all_pos_ints | Check whether all arguments are stricly positive natural... |

alt_gsmar | Construct a GSMAR model based on results from an arbitrary... |

calc_gradient | Calculate gradient or Hessian matrix |

change_parametrization | Change parametrization of a parameter vector |

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

checkAndCorrectData | Check that 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 that p and M are correctly set |

condmomentPlot | Condinional mean or variance plot for GMAR, StMAR, and... |

condMoments | Calculate conditional moments of GMAR, StMAR, or G-StMAR... |

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

extractRegime | Extract regime from a parameter vector |

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

format_valuef | Function factory for formatting values |

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 |

get_minval | Returns the default smallest allowed log-likelihood for given... |

getOmega | Generate the covariance matrix Omega for quantile residual... |

get_regime_autocovs | Calculate regime specific autocovariances *gamma*_{m,p} |

get_regime_means | Calculate regime specific means mu_{m} |

get_regime_vars | Calculate regime specific variances gamma_{m,0} |

get_varying_h | Get differences 'h' which are adjusted for overly large... |

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 stationarity and identification conditions of... |

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

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 a 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 a parameter vector |

pick_pars | Pick phi_0 (or mu), AR-coefficients, and variance parameters... |

pick_phi0 | Pick phi0 or mean parameters from parameter vector |

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' |

profile_logliks | Plot profile log-likehoods around the estimates |

quantileResidualPlot | Plot quantile residual time series and histogram |

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 , and G-StMAR models |

random_arcoefs | Create random AR coefficients |

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

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

random_regime | Create random regime parameters |

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 constrained and restricted parameter vector into... |

simudata | Simulated data |

simulateGSMAR | Simulate values from GMAR, StMAR, and G-StMAR processes |

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

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

stmarpars_to_gstmar | Transform a StMAR model parameter vector to a corresponding... |

stmar_to_gstmar | Estimate a G-StMAR model based on a StMAR model with large... |

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

T10Y1Y | Spread between 10-Year and 1-Year treasury rates: T10Y1Y |

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

uncondMoments | Calculate unconditional mean, variance, first p... |

uncondMoments_int | Calculate unconditional mean, variance, and the first p... |

warn_dfs | Warn about large degrees of freedom parameter values |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.