Other packages > Find by keyword >

gmvarkit  

Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
View on CRAN: Click here


Download and install gmvarkit package within the R console
Install from CRAN:
install.packages("gmvarkit")

Install from Github:
library("remotes")
install_github("cran/gmvarkit")

Install by package version:
library("remotes")
install_version("gmvarkit", "2.2.1")



Attach the package and use:
library("gmvarkit")
Maintained by
Savi Virolainen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-07-28
Latest Update: 2025-06-19
Description:
Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function and generalized forecast error variance decomposition. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) , Savi Virolainen (forthcoming) , Savi Virolainen (2022) .
How to cite:
Savi Virolainen (2018). gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models. R package version 2.2.1, https://cran.r-project.org/web/packages/gmvarkit. Accessed 25 Jun. 2026.
Previous versions and publish date:
1.0.0 (2018-07-28 18:30), 1.0.1 (2018-08-13 16:10), 1.0.2 (2018-08-24 18:42), 1.0.3 (2018-09-22 13:10), 1.1.0 (2019-07-04 17:10), 1.1.1 (2019-08-28 17:40), 1.1.2 (2020-01-21 20:50), 1.1.3 (2020-03-12 18:00), 1.2.0 (2020-08-24 11:50), 1.2.1 (2020-08-28 13:00), 1.2.2 (2020-10-05 19:10), 1.2.3 (2020-11-03 11:30), 1.3.0 (2020-12-16 15:40), 1.3.1 (2020-12-16 23:30), 1.4.0 (2021-01-11 18:10), 1.4.1 (2021-01-27 17:00), 1.4.2 (2021-05-12 17:20), 1.5.0 (2021-09-17 14:40), 2.0.0 (2021-11-22 17:00), 2.0.1 (2021-12-14 19:50), 2.0.2 (2022-01-18 20:12), 2.0.3 (2022-04-20 14:32), 2.0.4 (2022-06-03 18:10), 2.0.5 (2022-08-19 19:30), 2.0.6 (2023-02-15 13:50), 2.0.7 (2023-06-09 16:00), 2.0.8 (2023-06-12 11:10), 2.0.10 (2023-08-19 13:22), 2.1.0 (2023-11-14 18:10), 2.1.1 (2024-01-22 15:00), 2.1.2 (2024-02-29 17:12), 2.1.3 (2024-12-04 15:20), 2.1.4 (2025-01-08 06:10), 2.2.0 (2025-06-19 17:50)
Other packages that cited gmvarkit R package
View gmvarkit citation profile
Other R packages that gmvarkit depends, imports, suggests or enhances
Complete documentation for gmvarkit
Functions, R codes and Examples using the gmvarkit R package
Some associated functions: GAfit . GFEVD . GIRF . GMVAR . GSMVAR . LR_test . Pearson_residuals . Rao_test . VAR_pcovmat . Wald_test . Wvec . add_data . all_pos_ints . alt_gmvar . alt_gsmvar . calc_gradient . change_parametrization . change_regime . check_constraints . check_data . check_gsmvar . check_null_data . check_pMd . check_parameters . check_same_means . cond_moment_plot . cond_moments . create_J_matrix . diag_Omegas . diagnostic_plot . dlogmultinorm . dlogmultistudent . estimate_sgsmvar . euromone . fitGMVAR . fitGSMVAR . form_boldA . format_valuef . gdpdef . get_IC . get_Sigmas . get_alpha_mt . get_boldA_eigens . get_minval . get_omega_eigens . get_regime_autocovs . get_regime_autocovs_int . get_regime_means . get_regime_means_int . get_symmetric_sqrt . get_test_Omega . get_unconstrained_structural_pars . get_varying_h . gmvar_to_gsmvar . gmvar_to_sgmvar . gmvarkit-package . gsmvar_to_sgsmvar . in_paramspace . in_paramspace_int . is_stationary . iterate_more . linear_IRF . loglikelihood . loglikelihood_int . mat_power . n_params . pick_Am . pick_Ami . pick_Omegas . pick_W . pick_allA . pick_all_phi0_A . pick_alphas . pick_df . pick_lambdas . pick_phi0 . pick_regime . plot.gmvarpred . plot.gsmvarpred . predict.gmvar . predict.gsmvar . print.gmvar . print.gmvarsum . print.gsmvarpred . print.gsmvarsum . print.hypotest . print_std_errors . profile_logliks . quantile_residual_tests . quantile_residuals . quantile_residuals_int . random_coefmats . random_coefmats2 . random_covmat . random_df . random_ind . random_ind2 . redecompose_Omegas . reform_constrained_pars . reform_data . reform_structural_pars . regime_distance . reorder_W_columns . simulate.gsmvar . simulateGMVAR . smart_covmat . smart_df . smart_ind . sort_W_and_lambdas . sort_and_standardize_alphas . sort_components . standard_errors . stmvar_to_gstmvar . stmvarpars_to_gstmvar . swap_W_signs . swap_parametrization . unWvec . uncond_moments . uncond_moments_int . unvec . unvech . update_numtols . usamon . usamone . vec . vech . warn_df . warn_eigens . 
Some associated R codes: GIRFandGFEVD.R . GSMVARconstruction.R . MAINest.R . WaldAndLR.R . argumentChecks.R . backwardCompatibility.R . data.R . diagnosticPlot.R . generateParams.R . geneticAlgorithm.R . gmvarkit.R . linearIRF.R . loglikelihood.R . matcal.R . miscS3methods.R . morePlots.R . numericalDifferentiation.R . parameterReforms.R . pickParams.R . plotMethods.R . predictMethod.R . printMethods.R . quantileResidualTests.R . quantileResiduals.R . simulate.R . standardErrors.R . uncondMoments.R .  Full gmvarkit package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA