adrincont/BMTAR: Bayesian Approach for MTAR Models with Missing Data

Implements parameter estimation using a Bayesian approach for Multivariate Threshold Autoregressive (MTAR) models with missing data using Markov Chain Monte Carlo methods. Performs the simulation of MTAR processes (mtarsim()), estimation of matrix parameters and the threshold values (mtarns()), identification of the autoregressive orders using Bayesian variable selection (mtarstr()), identification of the number of regimes using Metropolised Carlin and Chib (mtarnumreg()) and estimate missing data, coefficients and covariance matrices conditional on the autoregressive orders, the threshold values and the number of regimes (mtarmissing()). Calderon and Nieto (2017) <doi:10.1080/03610926.2014.990758>.

Getting started

Package details

AuthorValeria Bejarano Salcedo <>, Sergio Alejandro Calderon Villanueva <> Andrey Duvan Rincon Torres <>
MaintainerAndrey Duvan Rincon Torres <>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
adrincont/BMTAR documentation built on Jan. 23, 2021, 11:49 p.m.