uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR), Student's t Mixture Autoregressive (StMAR) and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes. Also general linear constraints and restricting autoregressive parameters to be the same for all regimes are supported. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>, Leena Kalliovirta (2012) <doi:10.1111/j.1368-423X.2011.00364.x>.

Version: 2.0.3
Depends: R (≥ 3.4.0)
Imports: Brobdingnag (≥ 1.2-4), parallel, stats (≥ 3.3.2)
Suggests: gsl (≥ 1.9-10.3), pbapply (≥ 1.3-2), testthat, knitr, rmarkdown
Published: 2018-07-20
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: uGMAR results

Downloads:

Reference manual: uGMAR.pdf
Vignettes: Introduction to uGMAR
Package source: uGMAR_2.0.3.tar.gz
Windows binaries: r-devel: uGMAR_2.0.3.zip, r-release: uGMAR_2.0.3.zip, r-oldrel: uGMAR_2.0.2.zip
OS X binaries: r-release: uGMAR_2.0.3.tgz, r-oldrel: uGMAR_2.0.3.tgz
Old sources: uGMAR archive

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