Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR) and Student's t Mixture Autoregressive (StMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR and 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: | 1.0.2 |
| Depends: | R (≥ 3.3.2) |
| Imports: | Brobdingnag (≥ 1.2-4), parallel, stats (≥ 3.3.2) |
| Suggests: | gsl (≥ 1.9-10.3), pbapply (≥ 1.3-2), testthat, knitr, rmarkdown |
| Published: | 2017-10-16 |
| Author: | Savi Virolainen [aut, cre] |
| Maintainer: | Savi Virolainen <savi.virolainen at helsinki.fi> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | uGMAR results |
| Reference manual: | uGMAR.pdf |
| Vignettes: |
Introduction to uGMAR |
| Package source: | uGMAR_1.0.2.tar.gz |
| Windows binaries: | r-devel: uGMAR_1.0.2.zip, r-release: uGMAR_1.0.2.zip, r-oldrel: uGMAR_1.0.2.zip |
| OS X El Capitan binaries: | r-release: uGMAR_1.0.2.tgz |
| OS X Mavericks binaries: | r-oldrel: uGMAR_1.0.2.tgz |
| Old sources: | uGMAR archive |
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