uGMAR

CRANuGMARMaRDI QIDQ75804FDOQ75804

Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

Savi Virolainen

Last update: 19 August 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 3.4.4, 1.0.0, 1.0.1, 1.0.2, 2.0.0, 2.0.1, 2.0.2, 2.0.3, 3.0.0, 3.0.1, 3.1.0, 3.2.0, 3.2.1, 3.2.2, 3.2.3, 3.2.4, 3.2.5, 3.2.6, 3.3.0, 3.3.1, 3.3.2, 3.4.0, 3.4.1, 3.4.2, 3.4.3, 3.4.5

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>.

Cites work

• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• A mixture autoregressive model based on Student’s t–distribution
• A mixture autoregressive model based on Gaussian and Student’s t-distributions

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