saviviro/gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model

Unconstrained and constrained maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, simulations, and forecasting. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Getting started

Package details

AuthorSavi Virolainen [aut, cre]
MaintainerSavi Virolainen <[email protected]>
LicenseGPL-3
Version1.1.3
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("saviviro/gmvarkit")
saviviro/gmvarkit documentation built on Jan. 25, 2020, 10:52 p.m.