uGMAR (Q75804)
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Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | uGMAR |
Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models |
Statements
19 August 2023
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Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR), Student's t Mixture Autoregressive (StMAR), and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>, Mika Meitz, Daniel Preve, Pentti Saikkonen (2023) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (2022) <doi:10.1515/snde-2020-0060>.
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