Mixture Autoregressive Models
Adjust the length of the second argument to be the same as that of the...
Bayesian sampling of mixture autoregressive models
RJMCMC move for AR order selection of mixture autoregressive models
Choose the autoregressive order of MixAR components
Create a companion matrix from a vector
Log-likelihood of MixAR models
Functions for the standard normal distribution
Optimise scale parameters in MixARgen models
Update the scale parameters of MixAR models
Gaussian EM-step with random initialisation
Compute probabilities for the observations to belong to each of the co...
Calculate component specific error terms under MixAR model
Utility function for MixAR
Create estimation templates from MixAR model objects
MixAR models for examples and testing
Fit mixture autoregressive models
Fit time series regression models with mixture autoregressive residual...
Fit mixture vector autoregressive models
Generator functions for noise distributions
Methods for function get_edist in package mixAR
Methods for function initialize in package mixAR
Generalised inner product and methods for class "MixComp"
Check if a MixAR model is stable
A posteriori relabelling of a Markov chain
Extract the last n elements of a vector
Vector of parameters of a MixAR model
Give natural limits for parameters of a MixAR model.
Create a function for computation of conditional likelihood
Calculate marginal loglikelihood at high density points of a MAR model...
Methods for mix_central_moment
Function and methods to compute component residuals for MixAR models
Compute component predictions for MixAR models
Conditional mean of MixAR models
Methods for mix_moment
Conditional moments of MixAR models
Number of rows or columns of a MixComp object
Conditional pdf's and cdf's of MixAR models
Conditional quantile functions of MixAR models
Compute standard errors of estimates of MixAR models
Methods for mix_variance
Class "MixAR" --- mixture autoregressive models
Internal mixAR Functions
Create MixAR objects
require("mixAR") pd <- packageDescription("mixAR") lb <- library(hel...
BIC based model selection for MixAR models
The E-step of the EM algorithm for MixAR models
Diagnostic checks for mixture autoregressive models
Simulate from MixAR models
Relabel the components of a MixAR model
EM estimation for mixture autoregressive models
Simulation experiments with MixAR models
mixAR models with Gaussian noise components
Class "MixARgen"
Simulate white noise series from a list of functions and vector of reg...
Class "MixComp" --- manipulation of MixAR time series
Filter time series with MixAR filters
M-step for models from class MixARgen
Internal functions for estimation of MixAR models with Gaussian compon...
Fit mixture autoregressive models with seasonal AR parameters
Support for EM estimation of MixAR models, internal function.
Class "MixVAR" --- mixture vector autoregressive models
Simulate from multivariate MixAR models
Fit mixture vector autoregressive models
MixVAR models with multivariate Gaussian noise components
Multi-step predictions for MixAR models
Methods for function noise_dist in package mixAR
Internal mixAR functions
Compute moments of the noise components
Methods for function noise_params in package mixAR
Methods for function noise_rand in package mixAR
Set or extract the parameters of MixAR objects
Infix operator to apply functions to matrix-like objects
All permutations of the columns of a matrix
Exact predictive parameters for multi-step MixAR prediction
Small utilities for ragged objects
Convert a ragged list into a matrix of characters
Class "raggedCoef" --- ragged list objects
Class "raggedCoefS" --- ragged list
Class "raggedCoefV" --- ragged list
Filter a time series with options to shift and scale
Random initial values for MixAR estimation
Methods for function row_lengths in package mixAR
Sampling functions for Bayesian analysis of mixture autoregressive mod...
Show differences between two models
Perform simulation experiments
Compute moments and absolute moments of standardised-t and normal dist...
Estimate probabilities of a MixAR model from tau.
A test for 'unswitch'
Translations of my old MixAR Mathematica functions
Utility function for mixAR
Dealing with label switching in MixAR experiments
Put core MixAR coefficients into a canonical form, internal function
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.
Useful links