uGMAR (1.0.2)

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

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) , Leena Kalliovirta (2012) .

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

License: GPL-3

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

Released about 2 years ago.