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mtarm (version 0.1.8)

Bayesian Estimation of Multivariate Threshold Autoregressive Models

Description

Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.

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Install

install.packages('mtarm')

Monthly Downloads

511

Version

0.1.8

License

GPL-2 | GPL-3

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Maintainer

Luis Hernando Vanegas

Last Published

January 11th, 2026

Functions in mtarm (0.1.8)

predict.mtar

Forecasting for multivariate TAR models
out.of.sample

Out-of-sample predictive accuracy measures
geweke.plotTAR

Geweke-Brooks plot for objects of class mtar
iceland.rf

Temperature, precipitation, and two river flows in Iceland
vcov.mtar

vcov method for objects of class mtar
returns

Returns of the closing prices of three financial indexes
priors

Auxiliary function for setting hyperparameter values
coef.mtar

coef method for objects of class mtar
WAIC

Watanabe-Akaike or Widely Available Information Criterion (WAIC)
US.returns

U.S. Stock Returns
HPDinterval.mtar

Highest Posterior Density intervals for objects of class mtar
ars

Auxiliary function to specify the number of regimes and lag orders
as.mcmc.mtar

Coercion of mtar objects to mcmc objects
WAIC.mtar

Watanabe-Akaike or Widely Available Information Criterion (WAIC) for objects of class mtar
geweke.diagTAR

Geweke's convergence diagnostic for mtar objects
simtar

Simulation of multivariate time series from a TAR model
riverflows

Rainfall and two river flows in Colombia
mtar_grid

Bayesian Estimation of Multivariate TAR Models
mtar

Bayesian estimation of a multivariate Threshold Autoregressive (TAR) model.
DIC

Deviance Information Criterion (DIC)
DIC.mtar

Deviance Information Criterion (DIC) for objects of class mtar