gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model

Unconstrained and constrained maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, simulations, and forecasting. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Version: 1.1.1
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: 2019-08-28
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: gmvarkit results

Downloads:

Reference manual: gmvarkit.pdf
Vignettes: Introduction to gmvarkit
Package source: gmvarkit_1.1.1.tar.gz
Windows binaries: r-devel: gmvarkit_1.1.1.zip, r-release: gmvarkit_1.1.1.zip, r-oldrel: gmvarkit_1.1.0.zip
OS X binaries: r-release: gmvarkit_1.1.1.tgz, r-oldrel: gmvarkit_1.1.1.tgz
Old sources: gmvarkit archive

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