uGMAR

uGMAR-package

<code>uGMAR</code> is a package for estimating univariate Gaussian mixture autoregressive (GMAR),
 Student's t mixture autoregressive (StMAR), and Gaussian and Student's t mixture autoregressive (G-StMAR) models.
 In addition to unconstrained and constrained estimation, <code>uGMAR</code> provides tools for quantile residual based model
 diagnostics, forecasting, simulation, and more.
The readme file or the vignette is a good place to start.

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.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Mika Meitz, Daniel Preve, Pentti Saikkonen (2023) <doi:10.1080/03610926.2021.1916531>,
Savi Virolainen (2022) <doi:10.1515/snde-2020-0060>.

Savi Virolainen

Estimate Univariate Gaussian and Student's t Mixture
Autoregressive Models

uGMAR-package function

Maintainer: Savi Virolainen <a href="/link/savi.virolainen%40helsinki.fi?package=uGMAR&version=3.5.1" data-mini-rdoc="uGMAR::savi.virolainen@helsinki.fi">savi.virolainen@helsinki.fi</a> (<a href="https://orcid.org/0000-0002-5075-6821">ORCID</a>)

Author

uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models — uGMAR-package

Maintainer: Savi Virolainen <a href='mailto:savi.virolainen@helsinki.fi'>savi.virolainen@helsinki.fi</a> (<a href='https://orcid.org/0000-0002-5075-6821'>ORCID</a>)

uGMAR-package: uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

Description

Arguments

Author

See Also