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. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>, Mika Meitz, Daniel Preve, Pentti Saikkonen (forthcoming) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (2020) <arXiv:2003.05221>.

Version: 3.3.1
Depends: R (≥ 3.4.0)
Imports: Brobdingnag (≥ 1.2-4), parallel, pbapply (≥ 1.3-2), stats (≥ 3.3.2), gsl (≥ 1.9-10.3)
Suggests: testthat, knitr, rmarkdown
Published: 2021-05-12
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
CRAN checks: uGMAR results

Downloads:

Reference manual: uGMAR.pdf
Vignettes: uGMAR: A Family of Mixture Autoregressive Models in R
Package source: uGMAR_3.3.1.tar.gz
Windows binaries: r-devel: uGMAR_3.3.1.zip, r-release: uGMAR_3.3.0.zip, r-oldrel: uGMAR_3.3.1.zip
macOS binaries: r-release: uGMAR_3.3.1.tgz, r-oldrel: uGMAR_3.3.1.tgz
Old sources: uGMAR archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=uGMAR to link to this page.