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uGMAR  

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


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

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

Install by package version:
library("remotes")
install_version("uGMAR", "3.5.1")



Attach the package and use:
library("uGMAR")
Maintained by
Savi Virolainen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-08-28
Latest Update: 2023-08-19
Description:
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>.
How to cite:
Savi Virolainen (2017). uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models. R package version 3.5.1, https://cran.r-project.org/web/packages/uGMAR. Accessed 22 Dec. 2024.
Previous versions and publish date:
1.0.0 (2017-08-28 14:12), 1.0.1 (2017-08-29 14:11), 1.0.2 (2017-10-16 18:04), 2.0.0 (2018-02-26 11:37), 2.0.1 (2018-04-14 17:00), 2.0.2 (2018-07-05 18:50), 2.0.3 (2018-07-20 16:40), 3.0.0 (2018-08-09 18:10), 3.0.1 (2018-09-22 14:00), 3.1.0 (2019-06-26 12:00), 3.2.0 (2019-08-27 12:10), 3.2.1 (2019-12-11 17:30), 3.2.2 (2020-01-16 21:10), 3.2.3 (2020-03-12 17:10), 3.2.4 (2020-03-20 18:30), 3.2.5 (2020-04-04 14:50), 3.2.6 (2020-12-17 17:30), 3.3.0 (2021-02-12 17:50), 3.3.1 (2021-05-12 13:40), 3.3.2 (2021-07-08 16:00), 3.4.0 (2021-09-02 08:40), 3.4.1 (2022-01-18 19:00), 3.4.2 (2022-01-24 17:10), 3.4.3 (2022-06-07 10:10), 3.4.4 (2023-02-15 15:50), 3.4.5 (2023-08-19 12:50), 3.5.0 (2024-07-04 16:00)
Other packages that cited uGMAR R package
View uGMAR citation profile
Other R packages that uGMAR depends, imports, suggests or enhances
Complete documentation for uGMAR
Functions, R codes and Examples using the uGMAR R package
Some associated functions: GAfit . GSMAR . LR_test . M10Y1Y . T10Y1Y . TBFF . Wald_test . add_data . add_dfs . all_pos_ints . alt_gsmar . calc_gradient . change_parametrization . change_regime . check_and_correct_data . check_constraint_mat . check_data . check_gsmar . check_model . check_pM . check_params_length . condMoments . cond_moment_plot . cond_moments . condmomentPlot . diagnosticPlot . diagnostic_plot . extract_regime . fitGSMAR . format_valuef . get_IC . get_alpha_mt . get_ar_roots . get_minval . get_regime_autocovs . get_regime_means . get_regime_vars . get_test_Omega . get_varying_h . isStationary . is_stationary . is_stationary_int . iterate_more . loglikelihood . loglikelihood_int . mixingWeights . mixing_weights . mixing_weights_int . n_params . parameter_checks . pick_alphas . pick_dfs . pick_pars . pick_phi0 . plot.gsmarpred . predict.gsmar . print.gsmarpred . print.gsmarsum . profile_logliks . quantileResidualPlot . quantileResidualTests . quantileResiduals . quantile_residual_plot . quantile_residual_tests . quantile_residuals . quantile_residuals_int . randomIndividual . random_arcoefs . random_ind . random_ind_int . random_regime . reform_constrained_pars . reform_parameters . reform_restricted_pars . regime_distance . remove_all_constraints . simudata . simulate.gsmar . simulateGSMAR . sort_components . standard_errors . stmar_to_gstmar . stmarpars_to_gstmar . swap_parametrization . uGMAR-package . uncond_moments . uncond_moments_int . warn_ar_roots . warn_dfs . 
Some associated R codes: GSMARconstructor.R . MAINest.R . WaldAndLR.R . argumentChecks.R . data.R . deprecatedFunctions.R . diagnosticPlot.R . geneticAlgorithm.R . getOmega.R . loglikelihood.R . misc3methods.R . morePlots.R . numericalDifferentiation.R . parameterReforms.R . pickAndChangeParams.R . plotMethods.R . predictMethod.R . printMethods.R . quantileResidualTests.R . quantileResiduals.R . simulateGSMAR.R . standardErrors.R . uGMAR.R . uncondMoments.R .  Full uGMAR package functions and examples
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