uGMAR (2.0.0)
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 almost 2 years ago.
