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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", "2.1.4")



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: 2024-02-29
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 2.1.4, https://cran.r-project.org/web/packages/gmvarkit. Accessed 18 Feb. 2025.
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)
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
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