Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

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Documentation for package ‘uGMAR’ version 3.5.0

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uGMAR-package uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
add_data Add data to object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
alt_gsmar Construct a GSMAR model based on results from an arbitrary estimation round of 'fitGSMAR'
calc_gradient Calculate gradient or Hessian matrix
calc_hessian Calculate gradient or Hessian matrix
condmomentPlot DEPRECATED, USE 'cond_moment_plot' INSTEAD! Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models
condMoments DEPRECATED, USE 'cond_moments' INSTEAD! Calculate conditional moments of GMAR, StMAR, or G-StMAR model
cond_moments Calculate conditional moments of GMAR, StMAR, or G-StMAR model
cond_moment_plot Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models
diagnosticPlot DEPRECATED, USE 'diagnostic_plot' INSTEAD! Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models
diagnostic_plot Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models
fitGSMAR Estimate Gaussian or Student's t Mixture Autoregressive model
GAfit Genetic algorithm for preliminary estimation of GMAR, StMAR, or G-StMAR model
get_ar_roots Calculate absolute values of the roots of the AR characteristic polynomials
get_foc Calculate gradient or Hessian matrix
get_gradient Calculate gradient or Hessian matrix
get_hessian Calculate gradient or Hessian matrix
get_regime_autocovs Calculate regime specific autocovariances *gamma*_{m,p}
get_regime_means Calculate regime specific means mu_{m}
get_regime_vars Calculate regime specific variances gamma_{m,0}
get_soc Calculate gradient or Hessian matrix
GSMAR Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
isStationary DEPRECATED, USE 'is_stationary' INSTEAD! Check the stationary condition of specified GMAR, StMAR, or G-StMAR model.
is_stationary Check the stationary condition of specified GMAR, StMAR, or G-StMAR model.
iterate_more Maximum likelihood estimation of GMAR, StMAR, or G-StMAR model with preliminary estimates
logLik.gsmar Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
loglikelihood Compute the log-likelihood of GMAR, StMAR, or G-StMAR model
LR_test Perform likelihood ratio test
M10Y1Y Spread between 10-Year and 1-Year Treasury rates: M10Y1Y
mixingWeights DEPRECATED, USE 'mixing_weights' INSTEAD! Calculate mixing weights of GMAR, StMAR or G-StMAR model
mixing_weights Calculate mixing weights of GMAR, StMAR or G-StMAR model
pick_pars Pick phi_0 (or mu), AR-coefficients, and variance parameters from a parameter vector
plot.gsmar Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
plot.gsmarpred Plot method for class 'gsmarpred' objects
plot.qrtest Quantile residual tests for GMAR, StMAR , and G-StMAR models
predict.gsmar Forecast GMAR, StMAR, or G-StMAR process
print.gsmar Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
print.gsmarpred Print method for class 'gsmarpred' objects
print.gsmarsum Print method from objects of class 'gsmarsum'
print.qrtest Quantile residual tests for GMAR, StMAR , and G-StMAR models
profile_logliks Plot profile log-likelihoods around the estimates
quantileResidualPlot DEPRECATED, USE 'quantile_residual_plot' INSTEAD! Plot quantile residual time series and histogram
quantileResiduals DEPRECATED, USE 'quantile_residuals' INSTEAD! Compute quantile residuals of GMAR, StMAR, or G-StMAR model
quantileResidualTests DEPRECATED, USE 'quantile_residual_tests' INSTEAD! Quantile residual tests for GMAR, StMAR , and G-StMAR models
quantile_residuals Compute quantile residuals of GMAR, StMAR, or G-StMAR model
quantile_residual_plot Plot quantile residual time series and histogram
quantile_residual_tests Quantile residual tests for GMAR, StMAR , and G-StMAR models
randomIndividual DEPRECATED, USE 'random_ind' OR 'smart_ind' INSTEAD! Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
random_ind Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
reform_parameters Reform any parameter vector into standard form.
residuals.gsmar Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
simudata Simulated data
simulate.gsmar Simulate obsercations from GMAR, StMAR, and G-StMAR processes
simulateGSMAR DEPRECATED, USE 'simulate.gsmar' INSTEAD! Simulate observations from GMAR, StMAR, and G-StMAR processes
smartIndividual DEPRECATED, USE 'random_ind' OR 'smart_ind' INSTEAD! Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
smart_ind Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
stmarpars_to_gstmar Transform a StMAR or G-StMAR model parameter vector to a corresponding G-StMAR model parameter vector with large dfs parameters reduced.
stmar_to_gstmar Estimate a G-StMAR model based on a StMAR model with large degrees of freedom parameters
summary.gsmar Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
swap_parametrization Swap the parametrization of object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
T10Y1Y Spread between 10-Year and 1-Year Treasury rates: T10Y1Y
TBFF Spread between the 3-month Treasury bill rate and the effective federal funds rate: TBFF
uGMAR uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
uncond_moments Calculate unconditional mean, variance, first p autocovariances and autocorrelations of the GSMAR process.
Wald_test Perform Wald test