mixAR overview 


Mixture Autoregressive Models 

EM and Bayesian estimation of mixture autoregressive modelsFit mixture autoregressive models using the EM algorithm or MCMC. 

Fit mixture autoregressive models 

Bayesian sampling of mixture autoregressive models 

Fit time series regression models with mixture autoregressive residuals 

Fit mixture autoregressive models with seasonal AR parameters 

Diagnostic checks for mixture autoregressive models 

Compute standard errors of estimates of MixAR models 

BIC based model selection for MixAR models 

PredictionPredictive distributions and their summary statistics 

Conditional pdf's and cdf's of MixAR models 


Conditional moments of MixAR models 
Multistep predictions for MixAR models 

Simulation of mixAR time series 

Simulate white noise series from a list of functions and vector of regimes 

Simulate from MixAR models 

mixAR models 

mixAR models with Gaussian noise components 

Class 

Class 

Create MixAR objects 

MixAR models for examples and testing 

Show differences between two models 

Create a function for computation of conditional likelihood 

Methods for function 

Number of rows or columns of a MixComp object 

Methods for function 

Multivariate mixAR (mixVAR) models 

Simulate from multivariate MixAR models 

Fit mixture vector autoregressive models 

Class 

MixVAR models with multivariate Gaussian noise components 

Fit mixture vector autoregressive models 

Class 

Bayesian utilities for mixAR models 

Choose the autoregressive order of MixAR components 

Sampling functions for Bayesian analysis of mixture autoregressive models 

RJMCMC move for AR order selection of mixture autoregressive models 

A posteriori relabelling of a Markov chain 

Mixture distributionsCompute properties of mixture distributions. 

Functions for the standard normal distribution 


Generator functions for noise distributions 

Internal mixAR functions 

Compute moments and absolute moments of standardisedt and normal distributions 
mixAR parametersmixAR parameters. 

Set or extract the parameters of MixAR objects 

Check if a MixAR model is stable 

Vector of parameters of a MixAR model 

Give natural limits for parameters of a MixAR model. 

Relabel the components of a MixAR model 

Exact predictive parameters for multistep MixAR prediction 

Translations of my old MixAR Mathematica functions 

Operators and functionsOperators and functions for computations with components of mixAR models. 

Generalised inner product and methods for class 

Infix operator to apply functions to matrixlike objects 

Computations with noise distributions of mixAR modelsComputations involving noise distributions of mixAR models. 

Methods for function 

Compute moments of the noise components 

Methods for function 

Methods for function 

Computations with components of mixAR modelsComputations involving components of mixAR models. 

Class 

Function and methods to compute component residuals for MixAR models 

Compute component predictions for MixAR models 

Filter a time series with options to shift and scale 

EM and other utilities for mixAR modelsEM and other utilities for mixAR models. 

Optimise scale parameters in MixARgen models 

Update the scale parameters of MixAR models 

Gaussian EMstep with random initialisation 

Compute probabilities for the observations to belong to each of the components 

Create estimation templates from MixAR model objects 

Loglikelihood of MixAR models 

Calculate marginal loglikelihood at high density points of a MAR model. 

The Estep of the EM algorithm for MixAR models 

EM estimation for mixture autoregressive models 

Mstep for models from class MixARgen 

Internal functions for estimation of MixAR models with Gaussian components 

Filter time series with MixAR filters 

Support for EM estimation of MixAR models, internal function. 


Random initial values for MixAR estimation 
Estimate probabilities of a MixAR model from tau. 

Ragged coefficientsRagged coefficients. 

Class 

Class 

Small utilities for ragged objects 

Convert a ragged list into a matrix of characters 

Datasets 

Closing prices of four stocks 

Other methods 

Conditional mean of MixAR models 

Methods for mix_moment 

Methods for mix_central_moment 

Methods for mix_variance 

Internal utility functions 

Adjust the length of the second argument to be the same as that of the first one 

Put core MixAR coefficients into a canonical form, internal function 

Create a companion matrix from a vector 

Utility function for MixAR 

Calculate component specific error terms under MixAR model 

Methods for function 

Extract the last n elements of a vector 

All permutations of the columns of a matrix 

Utility function for mixAR 