mixAR overview

mixAR-package

Mixture Autoregressive Models

EM and Bayesian estimation of mixture autoregressive models

Fit mixture autoregressive models using the EM algorithm or MCMC.

fit_mixAR()

Fit mixture autoregressive models

bayes_mixAR()

Bayesian sampling of mixture autoregressive models

fit_mixARreg() mixARreg()

Fit time series regression models with mixture autoregressive residuals

mixSARfit()

Fit mixture autoregressive models with seasonal AR parameters

tsdiag(<MixAR>) mixAR_diag()

Diagnostic checks for mixture autoregressive models

mix_se()

Compute standard errors of estimates of MixAR models

mixAR_BIC() BIC_comp()

BIC based model selection for MixAR models

Prediction

Predictive distributions and their summary statistics

mix_pdf-methods

Conditional pdf's and cdf's of MixAR models

mix_location() mix_variance() mix_central_moment() mix_moment() mix_kurtosis() mix_ekurtosis()

Conditional moments of MixAR models

multiStep_dist()

Multi-step predictions for MixAR models

Simulation of mixAR time series

mixARnoise_sim()

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

mixAR_sim() mixAny_sim()

Simulate from MixAR models

mixAR models

MixARGaussian-class

mixAR models with Gaussian noise components

MixARgen-class

Class "MixARgen"

MixAR-class

Class "MixAR" --- mixture autoregressive models

mixAR()

Create MixAR objects

exampleModels

MixAR models for examples and testing

show_diff()

Show differences between two models

make_fcond_lik()

Create a function for computation of conditional likelihood

get_edist-methods

Methods for function get_edist in package mixAR

mix_ncomp()

Number of rows or columns of a MixComp object

row_lengths-methods

Methods for function row_lengths in package mixAR

Multivariate mixAR (mixVAR) models

mixVAR_sim()

Simulate from multivariate MixAR models

mixVARfit()

Fit mixture vector autoregressive models

MixVAR-class

Class "MixVAR" --- mixture vector autoregressive models

MixVARGaussian-class

MixVAR models with multivariate Gaussian noise components

fit_mixVAR()

Fit mixture vector autoregressive models

raggedCoefV-class

Class "raggedCoefV" --- ragged list

Bayesian utilities for mixAR models

Choose_pk()

Choose the autoregressive order of MixAR components

sampZpi() sampMuShift() sampSigmaTau()

Sampling functions for Bayesian analysis of mixture autoregressive models

bx_dx()

RJMCMC move for AR order selection of mixture autoregressive models

label_switch()

A posteriori relabelling of a Markov chain

Mixture distributions

Compute properties of mixture distributions.

dist_norm

Functions for the standard normal distribution

fdist_stdnorm() fdist_stdt() fn_stdt() b_show() distlist() ed_nparam ed_parse() ed_skeleton() ed_src ed_stdnorm ed_stdt ed_stdt0 ed_stdt1 ft_stdt

Generator functions for noise distributions

get_edist() noise_dist() noise_rand() noise_params() set_noise_params()

Internal mixAR functions

stdnormmoment() stdnormabsmoment() stdtmoment() stdtabsmoment() tabsmoment()

Compute moments and absolute moments of standardised-t and normal distributions

mixAR parameters

mixAR parameters.

parameters() `parameters<-`()

Set or extract the parameters of MixAR objects

isStable()

Check if a MixAR model is stable

lik_params()

Vector of parameters of a MixAR model

lik_params_bounds()

Give natural limits for parameters of a MixAR model.

mixAR_switch() mixAR_permute()

Relabel the components of a MixAR model

predict_coef()

Exact predictive parameters for multi-step MixAR prediction

tomarparambyComp() tomarparambyType() permuteArpar()

Translations of my old MixAR Mathematica functions

Operators and functions

Operators and functions for computations with components of mixAR models.

inner()

Generalised inner product and methods for class "MixComp"

`%of%` `%of%`

Infix operator to apply functions to matrix-like objects

Computations with noise distributions of mixAR models

Computations involving noise distributions of mixAR models.

noise_dist-methods

Methods for function noise_dist in package mixAR

noise_moment()

Compute moments of the noise components

noise_params-methods

Methods for function noise_params in package mixAR

noise_rand-methods

Methods for function noise_rand in package mixAR

Computations with components of mixAR models

Computations involving components of mixAR models.

MixComp-class

Class "MixComp" --- manipulation of MixAR time series

mix_ek()

Function and methods to compute component residuals for MixAR models

mix_hatk()

Compute component predictions for MixAR models

raghat1()

Filter a time series with options to shift and scale

EM and other utilities for mixAR models

EM and other utilities for mixAR models.

em_est_dist()

Optimise scale parameters in MixARgen models

tauetk2sigmahat() em_est_sigma()

Update the scale parameters of MixAR models

em_rinit() etk2tau()

Gaussian EM-step with random initialisation

em_tau() em_tau_safe()

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

est_templ()

Create estimation templates from MixAR model objects

cond_loglik() cond_loglikS()

Log-likelihood of MixAR models

marg_loglik()

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

mixAR_cond_probs()

The E-step of the EM algorithm for MixAR models

mixARemFixedPoint() mixARgenemFixedPoint()

EM estimation for mixture autoregressive models

mixgenMstep()

M-step for models from class MixARgen

tauCorrelate() tau2arcoef() mixMstep()

Internal functions for estimation of MixAR models with Gaussian components

mixFilter()

Filter time series with MixAR filters

mixSubsolve()

Support for EM estimation of MixAR models, internal function.

randomArCoefficients() randomMarParametersKernel() randomMarResiduals() tsDesignMatrixExtended()

Random initial values for MixAR estimation

tau2probhat()

Estimate probabilities of a MixAR model from tau.

Ragged coefficients

Ragged coefficients.

raggedCoef()

Class "raggedCoef" --- ragged list objects

raggedCoefS-class

Class "raggedCoefS" --- ragged list

rag_modify() ragged2vec()

Small utilities for ragged objects

ragged2char()

Convert a ragged list into a matrix of characters

Datasets

PortfolioData1

Closing prices of four stocks

Other methods

mix_location-methods

Conditional mean of MixAR models

mix_moment-methods

Methods for mix_moment

mix_central_moment-methods

Methods for mix_central_moment

mix_variance-methods

Methods for mix_variance

Internal utility functions

adjustLengths()

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

.canonic_coef()

Put core MixAR coefficients into a canonical form, internal function

companion_matrix()

Create a companion matrix from a vector

err_k()

Utility function for MixAR

err()

Calculate component specific error terms under MixAR model

initialize-methods

Methods for function initialize in package mixAR

lastn()

Extract the last n elements of a vector

permn_cols()

All permutations of the columns of a matrix

ui()

Utility function for mixAR