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

Description

Description

uGMAR is a package for estimating univariate Gaussian mixture autoregressive (GMAR), Student's t mixture autoregressive (StMAR), and Gaussian and Student's t mixture autoregressive (G-StMAR) models. In addition to unconstrained and constrained estimation, uGMAR provides tools for quantile residual based model diagnostics, forecasting, simulation, and more.

The readme file or the vignette is a good place to start.


uGMAR documentation built on Jan. 24, 2022, 5:10 p.m.