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 (2022) <arXiv:2007.04713>,
Savi Virolainen (2022) <arXiv:2109.13648>.
| Version: |
2.0.4 |
| 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: |
2022-06-03 |
| 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:
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