| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |