Package: uGMAR 3.5.0
uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
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 (2023) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (2022) <doi:10.1515/snde-2020-0060>.
Authors:
uGMAR_3.5.0.tar.gz
uGMAR_3.5.0.zip(r-4.5)uGMAR_3.5.0.zip(r-4.4)uGMAR_3.5.0.zip(r-4.3)
uGMAR_3.5.0.tgz(r-4.4-any)uGMAR_3.5.0.tgz(r-4.3-any)
uGMAR_3.5.0.tar.gz(r-4.5-noble)uGMAR_3.5.0.tar.gz(r-4.4-noble)
uGMAR_3.5.0.tgz(r-4.4-emscripten)uGMAR_3.5.0.tgz(r-4.3-emscripten)
uGMAR.pdf |uGMAR.html✨
uGMAR/json (API)
NEWS
# Install 'uGMAR' in R: |
install.packages('uGMAR', repos = c('https://saviviro.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/saviviro/ugmar/issues
Last updated 5 months agofrom:c57d71ab21. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 01 2024 |
R-4.5-win | OK | Nov 01 2024 |
R-4.5-linux | OK | Nov 01 2024 |
R-4.4-win | OK | Nov 01 2024 |
R-4.4-mac | OK | Nov 01 2024 |
R-4.3-win | OK | Nov 01 2024 |
R-4.3-mac | OK | Nov 01 2024 |
Exports:add_dataalt_gsmarcalc_gradientcalc_hessiancond_moment_plotcond_momentscondmomentPlotcondMomentsdiagnostic_plotdiagnosticPlotfitGSMARGAfitget_ar_rootsget_focget_gradientget_hessianget_regime_autocovsget_regime_meansget_regime_varsget_socGSMARis_stationaryisStationaryiterate_moreloglikelihoodLR_testmixing_weightsmixingWeightsprofile_logliksquantile_residual_plotquantile_residual_testsquantile_residualsquantileResidualPlotquantileResidualsquantileResidualTestsrandom_indrandomIndividualsimulateGSMARsmart_indsmartIndividualstmar_to_gstmarstmarpars_to_gstmarswap_parametrizationuncond_momentsWald_test
Dependencies:BrobdingnaggsllatticeMatrixpbapply