uGMAR

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 tools for quantile residuals based model diagnostics, forecasting, and simulation, to name a few.
  Imposing linear constraints to the autoregressive parameters of each regime or restricting them to be the same
  for all regimes is supported.</p>
<p>Many of the functions documented are not exported but for intended internal use only. The readme file and the
  vignette are 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.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) <arXiv:1805.04010>.

uGMAR: uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

Description

Arguments