Mixture Autoregressive Models

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) , Boshnakov (2009) ), and the extensive references in the documentation.


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install.packages("mixAR")

0.22.4 by Georgi N. Boshnakov, 7 days ago


https://geobosh.github.io/mixAR/ (website), https://github.com/GeoBosh/mixAR/ (devel)


Report a bug at https://github.com/GeoBosh/mixAR/issues


Browse source code at https://github.com/cran/mixAR


Authors: Georgi N. Boshnakov [aut, cre] , Davide Ravagli [aut]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, graphics, utils, stats4, BB, combinat, timeDate, fGarch, Rdpack, gbutils, MCMCpack, e1071, permute, mvtnorm

Depends on methods

Suggests fma, testthat


See at CRAN