Description Usage Arguments Details Value References See Also Examples

`iterate_more`

uses a variable metric algorithm to finalize maximum likelihood
estimation of a GMAR, StMAR or G-StMAR model (object of class `'gsmar'`

) which already has
preliminary estimates.

1 | ```
iterate_more(gsmar, maxit = 100, custom_h = NULL, calc_std_errors = TRUE)
``` |

`gsmar` |
a class 'gsmar' object, typically generated by |

`maxit` |
the maximum number of iterations for the variable metric algorithm. |

`custom_h` |
A numeric vector with same the length as the parameter vector: i:th element of custom_h is the difference
used in central difference approximation for partial differentials of the log-likelihood function for the i:th parameter.
If |

`calc_std_errors` |
should approximate standard errors be calculated? |

The main purpose of `iterate_more`

is to provide a simple and convenient tool to finalize
the estimation when the maximum number of iterations is reached when estimating a model with the
main estimation function `fitGSMAR`

. `iterate_more`

is essentially a wrapper for the functions
`optim`

from the package `stats`

and `GSMAR`

from the package `uGMAR`

.

Returns an object of class `'gsmar'`

defining the estimated model.

Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series.

*Journal of Time Series Analysis*,**36**, 247-266.Meitz M., Preve D., Saikkonen P. 2021. A mixture autoregressive model based on Student's t-distribution.

*Communications in Statistics - Theory and Methods*, doi: 10.1080/03610926.2021.1916531Virolainen S. 2021. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, doi: 10.1515/snde-2020-0060

`fitGSMAR`

, `GSMAR`

, `stmar_to_gstmar`

,
`profile_logliks`

, `optim`

1 2 3 4 5 6 7 | ```
# Estimate GMAR model with on only 1 iteration in variable metric algorithm
fit12 <- fitGSMAR(simudata, p=1, M=2, maxit=1, ncalls=1, seeds=1)
fit12
# Iterate more since iteration limit was reached
fit12 <- iterate_more(fit12)
fit12
``` |

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