aa_uGMAR

aa_uGMAR-package

<p><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.
  It provides functions for quantile residuals tests, graphical diagnostics, forecasting and simulations. Applying
  general linear constraints to the autoregressive parameters, or restricting them to be the same for all regimes
  is supported.</p>
<p>Many 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 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.
Also general linear constraints and restricting autoregressive parameters to be the same for all regimes are supported.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) <arXiv:1805.04010>.

Savi Virolainen

aa_uGMAR: uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

Description

Arguments