Description
Mixture Autoregressive Models.
Description
Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) <doi:10.1111/1467-9868.00222>, Boshnakov (2009) <doi:10.1016/j.spl.2009.04.009>), and the extensive references in the documentation.
README.md
'mixAR' is an R package for time series modelling with mixture autoregressive and related models.
Installing mixAR
Install the latest stable version from CRAN:
install.packages("mixAR")
Alternatively, install the development version of mixAR from Github:
remotes::install_github("GeoBosh/mixAR")
Overview
Package mixAR provides functions for modelling with mixture autoregressive (MAR/mixAR) models.
See, for example, the overview of mixAR and model fitting functions such as fit_mixAR and bayes_mixAR.