mixAR

MaRDI QIDQ1351612swMATHCRANFDO

Authors Georgi N. Boshnakov, Davide Ravagli

Last update 19 December 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.22.7, 0.22.3, 0.22.4, 0.22.5, 0.22.6, 0.22.8

Official website https://geobosh.github.io/mixAR/

Source code repository https://github.com/GeoBosh/mixAR

Description

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.

Cites work

• On a Mixture Autoregressive Model
• Analytic expressions for predictive distributions in mixture autoregressive models

Cited in

(2)

• fma
• Bayesian analysis of mixture autoregressive models covering the complete parameter space

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