aa_gmvarkit

aa_gmvarkit-package

<p><code>gmvarkit</code> is a package for estimating Gaussian Mixture Vector Autoregressive (GMVAR) model.
  It provides functions for quantile residuals tests, graphical diagnostics, forecasting and simulations. Applying
  general linear constraints to the autoregressive parameters is supported.</p>
<p>Most of the functions documented are not exported, but for internal use only. The vignette
  is a good place to start.</p>

Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR)
model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying
general linear constraints to the autoregressive parameters is supported.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Savi Virolainen

aa_gmvarkit: gmvarkit: Estimate Gaussian Mixture Vector Autoregressive (GMVAR) model

Description

Arguments