mixAR: Mixture Autoregressive Models (original) (raw)
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.
| Version: | 0.22.8 |
|---|---|
| Depends: | R (≥ 3.5), methods |
| Imports: | stats, graphics, utils, stats4, BB, combinat, timeDate, fGarch, Rdpack (≥ 0.7), gbutils (≥ 0.3-1), MCMCpack, e1071, permute, mvtnorm |
| Suggests: | fma, testthat, covr |
| Published: | 2023-12-19 |
| DOI: | 10.32614/CRAN.package.mixAR |
| Author: | Georgi N. Boshnakov [aut, cre], Davide Ravagli [aut] |
| Maintainer: | Georgi N. Boshnakov <georgi.boshnakov at manchester.ac.uk> |
| BugReports: | https://github.com/GeoBosh/mixAR/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://geobosh.github.io/mixAR/ (doc),https://github.com/GeoBosh/mixAR/ (devel) |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | mixAR results |
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