gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model

Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying general linear constraints to the autoregressive parameters is supported. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Version: 1.0.3
Depends: R (≥ 3.4.0)
Imports: Brobdingnag (≥ 1.2-5), mvnfast (≥ 0.2.5), parallel (≥ 3.4.0), stats (≥ 3.4.0), pbapply (≥ 1.3-4), graphics (≥ 3.4.0), grDevices (≥ 3.4.0)
Suggests: testthat, knitr, rmarkdown
Published: 2018-09-22
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
License: GPL-3
NeedsCompilation: no
Materials: README
In views: TimeSeries
CRAN checks: gmvarkit results

Downloads:

Reference manual: gmvarkit.pdf
Vignettes: Introduction to gmvarkit
Package source: gmvarkit_1.0.3.tar.gz
Windows binaries: r-devel: gmvarkit_1.0.3.zip, r-release: gmvarkit_1.0.3.zip, r-oldrel: gmvarkit_1.0.3.zip
OS X binaries: r-release: gmvarkit_1.0.3.tgz, r-oldrel: gmvarkit_1.0.3.tgz
Old sources: gmvarkit archive

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