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

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

Related Items (1)

Bayesian analysis of mixture autoregressive models covering the complete parameter space

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