Other packages > Find by keyword >

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", "3.5.2")



Attach the package and use:
library("uGMAR")
Maintained by
Savi Virolainen
[Scholar Profile | Author Map]
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 3.5.2, https://cran.r-project.org/web/packages/uGMAR. Accessed 13 May. 2025.
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), 3.5.1 (2024-12-04 15:30)
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
Downloads during the last 30 days
04/1304/1404/1504/1604/1704/1804/1904/2004/2104/2204/2304/2404/2504/2604/2704/2804/2904/3005/0105/0205/0305/0405/0505/0605/0705/0805/0905/1005/1105/12Downloads for uGMAR510152025303540TrendBars

Today's Hot Picks in Authors and Packages

hett  
Heteroscedastic t-Regression
Functions for the fitting and summarizing of heteroscedastic t-regression. ...
Download / Learn more Package Citations See dependency  
StanHeaders  
C++ Header Files for Stan
The C++ header files of the Stan project are provided by this package, but it contains little R code ...
Download / Learn more Package Citations See dependency  
nat.utils  
File System Utility Functions for 'NeuroAnatomy Toolbox'
Utility functions that may be of general interest but are specifically required by the 'NeuroAnatom ...
Download / Learn more Package Citations See dependency  
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  
genlogis  
Generalized Logistic Distribution
Provides basic distribution functions for a generalized logistic distribution proposed by Rathie and ...
Download / Learn more Package Citations See dependency  
dtrackr  
Track your Data Pipelines
Track and document 'dplyr' data pipelines. As you filter, mutate, and join your way through a data ...
Download / Learn more Package Citations See dependency  

24,223

R Packages

207,311

Dependencies

65,402

Author Associations

24,224

Publication Badges

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