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

changeRegimeChange the specified regime of parameter vector to the given...
checkAndCorrectDataCheck the data is set correctly and correct if not
checkConstraintMatCheck constraint matrices R
checkPMCheck p and M are correctly set
extractRegimeExtract regime from a parameter vector
fitGMAREstimate Gaussian or Student's t Mixture Autoregressive model
forecastGMARForecast GMAR pr StMAR process
GAfitGenetic algorithm for preliminary estimation of GMAR or StMAR...
getOmegaGenerate covariance matrix omega for quantile residual tests
isStationaryCheck the stationary condition of specified GMAR or StMAR...
isStationary_intCheck the stationary and identification conditions of...
loglikelihoodCompute the log-likelihood of Gaussian or Student's t Mixture...
loglikelihood_intCompute the log-likelihood of Gaussian or Student's t Mixture...
mixingWeightsCalculate mixing weights of GMAR or StMAR model
mixingWeights_intCalculate mixing weights of GMAR or StMAR model
nParamsCalculate the number of parameters
parameterChecksCheck the parameter vector is specified correctly
plotGMARQuantile residual based diagnostic plots for GMAR or StMAR...
quantileResidualsCompute quantile residuals of GMAR or StMAR model
quantileResiduals_intCompute quantile residuals of GMAR or StMAR model
quantileResidualTestsQuantile residual tests for GMAR or StMAR model
randomIndividualCreate somewhat random GMAR or StMAR model compatible...
randomIndividual_intCreate random GMAR or StMAR model compatible parameter vector
reformConstrainedParsReform parameter vector with linear constraints to correspond...
reformParametersReform any parameter vector into standard form.
simulateGMARSimulate GMAR or StMAR process
sortComponentsSort the mixture components of GMAR or StMAR model
standardErrorsCalculate standard errors for estimates of GMAR or StMAR...
VIXCBOE Volatility Index: VIX
uGMAR documentation built on Nov. 17, 2017, 5:28 a.m.