uGMAR (3.0.0)

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

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) , Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) .

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

License: GPL-3

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

Released over 1 year ago.