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.


Reference manual

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0.22.5 by Georgi N. Boshnakov, a year 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  

Task views: Time Series Analysis

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