Allows to perform the dynamic mixture estimation with state-space components and normal regression components, and clustering with normal mixture. Quasi-Bayesian estimation, as well as, that based on the Kerridge inaccuracy approximation are implemented. Main references: Nagy and Suzdaleva (2013) <doi:10.1016/j.apm.2013.05.038>; Nagy et al. (2011) <doi:10.1002/acs.1239>.

Krzysztof Drachal

dynmix

Estimation of Dynamic Finite Mixtures

oil function

<code>oil</code> is <code><a href="/link/matrix?package=dynmix&version=2.1" data-mini-rdoc="dynmix::matrix">matrix</a></code> object such that columnwise are<ul>
<li><code>crudeoil$p_oil</code> -- average spot price of crude oil (Brent, Dubai and WTI) in USD per barrel</li>
<li><code>crudeoil$cons</code> -- U.S. product supplied of crude oil and petroleum products in thousand barrels</li>
<li><code>crudeoil$r</code> -- U.S. 3-month treasury bill secondary market rate in %</li>
<li><code>crudeoil$stocks</code> -- U.S. share prices index, 2015=100</li>
<li><code>crudeoil$ex_rate</code> -- U.S. real effective exchange rate index (broad basket), 2020=100</li>
</ul>

Format

Crude Oil Data. — oil

<code>oil</code> is <code><a href='https://rdrr.io/r/base/matrix.html'>matrix</a></code> object such that columnwise are<ul>
<li><code>crudeoil$p_oil</code> -- average spot price of crude oil (Brent, Dubai and WTI) in USD per barrel</li>
<li><code>crudeoil$cons</code> -- U.S. product supplied of crude oil and petroleum products in thousand barrels</li>
<li><code>crudeoil$r</code> -- U.S. 3-month treasury bill secondary market rate in %</li>
<li><code>crudeoil$stocks</code> -- U.S. share prices index, 2015=100</li>
<li><code>crudeoil$ex_rate</code> -- U.S. real effective exchange rate index (broad basket), 2020=100</li>
</ul>

oil: Crude Oil Data.

Description

Usage

Arguments

Format

Details

References

Examples