M10Y1Y

<p>A dataset containing monthly U.S. interest rate spread between the 10-Year Treasury constant
maturity rate and 1-Year Treasury constant maturity rate from 1982 January to 2020 December.</p>

datasets

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

uGMAR

Estimate Univariate Gaussian and Student's t Mixture
Autoregressive Models

M10Y1Y function

<p>A class 'ts' time series object containing 468 observations.</p>

M10Y1Y: Spread between 10-Year and 1-Year Treasury rates: M10Y1Y

Description

Usage

Arguments

Format