uGMAR3.5.0 package

Pick $\phi_0$ (or $\mu$), AR-coefficients, and variance parameters fro...

Simulate obsercations from GMAR, StMAR, and G-StMAR processes

DEPRECATED, USE simulate.gsmar INSTEAD! Simulate observations from G...

Check that the data is set correctly and correct if not

Add data to object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR...

Add random dfs to a vector

Check whether all arguments are strictly positive natural numbers

Construct a GSMAR model based on results from an arbitrary estimation ...

Calculate gradient or Hessian matrix

Change parametrization of a parameter vector

Change the specified regime of parameter vector to the given regime-pa...

Check the constraint matrices

Check that given object contains data

Check that given object has class attribute 'gsmar'

Check that the argument 'model' is correctly specified.

Check that the parameter vector has the correct dimension

Check that p and M are correctly set

Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models

Calculate conditional moments of GMAR, StMAR, or G-StMAR model

DEPRECATED, USE cond_moment_plot INSTEAD! Conditional mean or varian...

DEPRECATED, USE cond_moments INSTEAD! Calculate conditional moments ...

Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR ...

DEPRECATED, USE diagnostic_plot INSTEAD! Quantile residual based dia...

Extract regime from a parameter vector

Estimate Gaussian or Student's t Mixture Autoregressive model

Function factory for formatting values

Genetic algorithm for preliminary estimation of GMAR, StMAR, or G-StMA...

Get mixing weights alpha_mt (this function is for internal use)

Calculate absolute values of the roots of the AR characteristic polyno...

Calculate AIC, HQIC and BIC

Returns the default smallest allowed log-likelihood for given data.

Calculate regime specific autocovariances gamma $_{m,p}$

Maximum likelihood estimation of GMAR, StMAR, or G-StMAR model with pr...

Calculate regime specific means $\mu_{m}$

Calculate regime specific variances $\gamma_{m,0}$

Generate the covariance matrix Omega for quantile residual tests

Get differences 'h' which are adjusted for overly large degrees of fre...

Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR mode...

Check the stationarity and identification conditions of specified GMAR...

Check the stationary condition of specified GMAR, StMAR, or G-StMAR mo...

DEPRECATED, USE is_stationary INSTEAD! Check the stationary conditio...

Compute the log-likelihood of GMAR, StMAR, or G-StMAR model

Compute the log-likelihood of GMAR, StMAR, or G-StMAR model

Perform likelihood ratio test

Calculate mixing weights of a GMAR, StMAR, or G-StMAR model

Calculate mixing weights of GMAR, StMAR or G-StMAR model

DEPRECATED, USE mixing_weights INSTEAD! Calculate mixing weights of ...

Calculate the number of parameters

Check the parameter vector is specified correctly

Pick mixing weights parameters from parameter vector

Pick degrees of freedom parameters from a parameter vector

Pick phi0 or mean parameters from parameter vector

Plot method for class 'gsmarpred' objects

Forecast GMAR, StMAR, or G-StMAR process

Print method for class 'gsmarpred' objects

Print method from objects of class 'gsmarsum'

Plot profile log-likelihoods around the estimates

Plot quantile residual time series and histogram

Quantile residual tests for GMAR, StMAR , and G-StMAR models

Compute quantile residuals of GMAR, StMAR, or G-StMAR model

Compute quantile residuals of GMAR, StMAR, or G-StMAR model

DEPRECATED, USE quantile_residual_plot INSTEAD! Plot quantile residu...

DEPRECATED, USE quantile_residuals INSTEAD! Compute quantile residua...

DEPRECATED, USE quantile_residual_tests INSTEAD! Quantile residual t...

Create random AR coefficients

Create random GMAR, StMAR, or G-StMAR model compatible parameter vecto...

Create random GMAR, StMAR, or G-StMAR model compatible parameter vecto...

Create random regime parameters

DEPRECATED, USE random_ind OR smart_ind INSTEAD! Create random GMA...

Reform parameter vector with linear constraints to correspond non-cons...

Reform any parameter vector into standard form.

Reform parameter vector with restricted autoregressive parameters to c...

Calculate "distance" between two regimes

Transform constrained and restricted parameter vector into the regular...

Sort the mixture components of a GMAR, StMAR, or G-StMAR model

Calculate standard errors for estimates of a GMAR, StMAR, or G-StMAR m...

Estimate a G-StMAR model based on a StMAR model with large degrees of ...

Transform a StMAR or G-StMAR model parameter vector to a corresponding...

Swap the parametrization of object of class 'gsmar' defining a GMAR, S...

uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregres...

Calculate unconditional mean, variance, and the first p autocovariance...

Calculate unconditional mean, variance, first p autocovariances and au...

Perform Wald test

Warn about near-unit-roots in some regimes

Warn about large degrees of freedom parameter values