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mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.

Version: 0.1.2
Imports: methods, stats, utils, graphics, Formula, grDevices, GIGrvg, coda
Published: 2024-07-22
DOI: 10.32614/CRAN.package.mtarm
Author: Luis Hernando Vanegas [aut, cre], Sergio Alejandro Calderón [aut], Luz Marina Rondón [aut]
Maintainer: Luis Hernando Vanegas <lhvanegasp at unal.edu.co>
BugReports: https://github.com/lhvanegasp/mtar/issues
License: GPL-2 | GPL-3
NeedsCompilation: no
In views: TimeSeries
CRAN checks: mtarm results

Documentation:

Reference manual: mtarm.pdf

Downloads:

Package source: mtarm_0.1.2.tar.gz
Windows binaries: r-devel: mtarm_0.1.2.zip, r-release: mtarm_0.1.2.zip, r-oldrel: mtarm_0.1.2.zip
macOS binaries: r-release (arm64): mtarm_0.1.2.tgz, r-oldrel (arm64): mtarm_0.1.2.tgz, r-release (x86_64): mtarm_0.1.2.tgz, r-oldrel (x86_64): mtarm_0.1.2.tgz
Old sources: mtarm archive

Linking:

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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.