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Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function and generalized forecast error variance decomposition. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (forthcoming) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.
Version: | 2.1.2 |
Depends: | R (≥ 3.6.0) |
Imports: | Brobdingnag (≥ 1.2-4), mvnfast (≥ 0.2.5), parallel (≥ 3.0.0), stats (≥ 3.0.0), pbapply (≥ 1.4-2), graphics (≥ 3.0.0), grDevices (≥ 3.0.0), gsl (≥ 2.1-6), methods (≥ 3.0.0) |
Suggests: | testthat, knitr, rmarkdown |
Published: | 2024-02-29 |
DOI: | 10.32614/CRAN.package.gmvarkit |
Author: | Savi Virolainen [aut, cre] |
Maintainer: | Savi Virolainen <savi.virolainen at helsinki.fi> |
BugReports: | https://github.com/saviviro/gmvarkit/issues |
License: | GPL-3 |
NeedsCompilation: | no |
Materials: | README NEWS |
In views: | TimeSeries |
CRAN checks: | gmvarkit results |
Reference manual: | gmvarkit.pdf |
Vignettes: |
gmvarkit: A Family of Mixture Vector Autoregressive Models in R |
Package source: | gmvarkit_2.1.2.tar.gz |
Windows binaries: | r-devel: gmvarkit_2.1.2.zip, r-release: gmvarkit_2.1.2.zip, r-oldrel: gmvarkit_2.1.2.zip |
macOS binaries: | r-release (arm64): gmvarkit_2.1.2.tgz, r-oldrel (arm64): gmvarkit_2.1.2.tgz, r-release (x86_64): gmvarkit_2.1.2.tgz, r-oldrel (x86_64): gmvarkit_2.1.2.tgz |
Old sources: | gmvarkit archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.