gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, quantile residual tests, graphical diagnostics, simulations, forecasting, and estimation of generalized impulse response function and generalized forecast error variance decomposition. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>, Savi Virolainen (forthcoming) <doi:10.1080/07350015.2024.2322090>, Savi Virolainen (2022) <arXiv:2109.13648>.

Version: 2.1.2
Depends: R (≥ 3.6.0)
Imports: Brobdingnag (≥ 1.2-4), mvnfast (≥ 0.2.5), parallel (≥ 3.0.0), stats (≥ 3.0.0), pbapply (≥ 1.4-2), graphics (≥ 3.0.0), grDevices (≥ 3.0.0), gsl (≥ 2.1-6), methods (≥ 3.0.0)
Suggests: testthat, knitr, rmarkdown
Published: 2024-02-29
Author: Savi Virolainen [aut, cre]
Maintainer: Savi Virolainen <savi.virolainen at helsinki.fi>
BugReports: https://github.com/saviviro/gmvarkit/issues
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: gmvarkit results

Documentation:

Reference manual: gmvarkit.pdf
Vignettes: gmvarkit: A Family of Mixture Vector Autoregressive Models in R

Downloads:

Package source: gmvarkit_2.1.2.tar.gz
Windows binaries: r-devel: gmvarkit_2.1.2.zip, r-release: gmvarkit_2.1.2.zip, r-oldrel: gmvarkit_2.1.2.zip
macOS binaries: r-release (arm64): gmvarkit_2.1.2.tgz, r-oldrel (arm64): gmvarkit_2.1.2.tgz, r-release (x86_64): gmvarkit_2.1.2.tgz
Old sources: gmvarkit archive

Linking:

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