mixAR
swMATH42944CRANmixARMaRDI QIDQ1351612
Mixture Autoregressive Models
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
Source code repository: https://github.com/GeoBosh/mixAR
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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