uGMAR-package

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

uGMAR is a package for estimating univariate Gaussian mixture autoregressive (GMAR), Student's t mixture autoregressive (StMAR), and Gaussian and Student's t mixture autoregressive (G-StMAR) models. In addition to unconstrained and constrained estimation, uGMAR provides tools for quantile residual based model diagnostics, forecasting, simulation, and more.

The readme file or the vignette is a good place to start. package

See Also

Useful links:

• Report bugs at https://github.com/saviviro/uGMAR/issues

Author(s)

Maintainer : Savi Virolainen savi.virolainen@helsinki.fi (ORCID)