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uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

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>.

Version: 3.5.0
Depends: R (≥ 3.4.0)
Imports: Brobdingnag (≥ 1.2-4), parallel, pbapply (≥ 1.3-2), stats (≥ 3.3.2), gsl (≥ 1.9-10.3)
Suggests: testthat, knitr, rmarkdown
Published: 2024-07-04
DOI: 10.32614/CRAN.package.uGMAR
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
BugReports: https://github.com/saviviro/uGMAR/issues
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: uGMAR results

Documentation:

Reference manual: uGMAR.pdf
Vignettes: uGMAR: A Family of Mixture Autoregressive Models in R

Downloads:

Package source: uGMAR_3.5.0.tar.gz
Windows binaries: r-devel: uGMAR_3.5.0.zip, r-release: uGMAR_3.5.0.zip, r-oldrel: uGMAR_3.5.0.zip
macOS binaries: r-release (arm64): uGMAR_3.5.0.tgz, r-oldrel (arm64): uGMAR_3.5.0.tgz, r-release (x86_64): uGMAR_3.5.0.tgz, r-oldrel (x86_64): uGMAR_3.5.0.tgz
Old sources: uGMAR archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=uGMAR to link to this page.

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.