Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model


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Documentation for package ‘uGMAR’ version 1.0.2

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changeRegime Change the specified regime of parameter vector to the given regime-parameter vector
checkAndCorrectData Check the data is set correctly and correct if not
checkConstraintMat Check constraint matrices R
checkPM Check p and M are correctly set
extractRegime Extract regime from a parameter vector
fitGMAR Estimate Gaussian or Student's t Mixture Autoregressive model
forecastGMAR Forecast GMAR pr StMAR process
GAfit Genetic algorithm for preliminary estimation of GMAR or StMAR model
getOmega Generate covariance matrix omega for quantile residual tests
isIdentifiable Check the stationary and identification conditions of specified GMAR or StMAR model.
isStationary Check the stationary condition of specified GMAR or StMAR model.
isStationary_int Check the stationary and identification conditions of specified GMAR or StMAR model.
loglikelihood Compute the log-likelihood of Gaussian or Student's t Mixture Autoregressive model
loglikelihood_int Compute the log-likelihood of Gaussian or Student's t Mixture Autoregressive model
mixingWeights Calculate mixing weights of GMAR or StMAR model
mixingWeights_int Calculate mixing weights of GMAR or StMAR model
nParams Calculate the number of parameters
parameterChecks Check the parameter vector is specified correctly
plotGMAR Quantile residual based diagnostic plots for GMAR or StMAR model
quantileResiduals Compute quantile residuals of GMAR or StMAR model
quantileResiduals_int Compute quantile residuals of GMAR or StMAR model
quantileResidualTests Quantile residual tests for GMAR or StMAR model
randomIndividual Create somewhat random GMAR or StMAR model compatible parameter vector
randomIndividual_int Create random GMAR or StMAR model compatible parameter vector
reformConstrainedPars Reform parameter vector with linear constraints to correspond non-constrained parameter vector.
reformParameters Reform any parameter vector into standard form.
simulateGMAR Simulate GMAR or StMAR process
smartIndividual Create somewhat random GMAR or StMAR model compatible parameter vector
smartIndividual_int Create random GMAR or StMAR model compatible parameter vector
sortComponents Sort the mixture components of GMAR or StMAR model
standardErrors Calculate standard errors for estimates of GMAR or StMAR model
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