uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

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 (2021) <doi:10.1080/03610926.2021.1916531>, Savi Virolainen (forthcoming), currently available as <arXiv:2003.05221>.

Version: 3.3.2
Depends: R (≥ 3.4.0)
Imports: Brobdingnag (≥ 1.2-4), parallel, pbapply (≥ 1.3-2), stats (≥ 3.3.2), gsl (≥ 1.9-10.3)
Suggests: testthat, knitr, rmarkdown
Published: 2021-07-08
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
CRAN checks: uGMAR results


Reference manual: uGMAR.pdf
Vignettes: uGMAR: A Family of Mixture Autoregressive Models in R
Package source: uGMAR_3.3.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): uGMAR_3.3.1.tgz, r-release (x86_64): uGMAR_3.3.2.tgz, r-oldrel: uGMAR_3.3.2.tgz
Old sources: uGMAR archive


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