mixAR (Q1351612)
From MaRDI portal
Mixture Autoregressive Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | mixAR |
Mixture Autoregressive Models |
Statements
19 December 2023
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Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) <doi:10.1111/1467-9868.00222>, Boshnakov (2009) <doi:10.1016/j.spl.2009.04.009>), and the extensive references in the documentation.
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expanded from: GPL (≥ 2) (English)
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