uGMAR (2.0.1)

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Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model.

http://cran.r-project.org/web/packages/uGMAR

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) , Leena Kalliovirta (2012) .

Maintainer: Savi Virolainen
Author(s): Savi Virolainen [aut, cre]

License: GPL-3

Uses: Brobdingnag, gsl, testthat, pbapply, knitr, rmarkdown

Released 2 months ago.


4 previous versions

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