doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (2025) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.">

gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models (original) (raw)

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function and generalized forecast error variance decomposition. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (2025) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (2022) <doi:10.48550/arXiv.2109.13648>.

Version: 2.2.0
Depends: R (≥ 3.6.0)
Imports: Brobdingnag (≥ 1.2-4), mvnfast (≥ 0.2.5), parallel (≥ 3.0.0), stats (≥ 3.0.0), pbapply (≥ 1.4-2), graphics (≥ 3.0.0), grDevices (≥ 3.0.0), gsl (≥ 2.1-6), methods (≥ 3.0.0)
Suggests: testthat, knitr, rmarkdown
Published: 2025-06-19
DOI: 10.32614/CRAN.package.gmvarkit
Author: Savi Virolainen ORCID iD [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
BugReports: https://github.com/saviviro/gmvarkit/issues
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: gmvarkit results

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