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>, Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) <arXiv:1805.04010>.
| Version: | 3.0.1 |
| Depends: | R (≥ 3.4.0) |
| Imports: | Brobdingnag (≥ 1.2-4), parallel, pbapply (≥ 1.3-2), stats (≥ 3.3.2) |
| Suggests: | gsl (≥ 1.9-10.3), testthat, knitr, rmarkdown |
| Published: | 2018-09-22 |
| 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_3.0.1.tar.gz |
| Windows binaries: | r-devel: uGMAR_3.0.1.zip, r-release: uGMAR_3.0.1.zip, r-oldrel: uGMAR_3.0.1.zip |
| OS X binaries: | r-release: uGMAR_3.0.1.tgz, r-oldrel: uGMAR_3.0.1.tgz |
| Old sources: | uGMAR archive |
Please use the canonical form https://CRAN.R-project.org/package=uGMAR to link to this page.