| aa_uGMAR-package | uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model |
| aa_uGMAR | uGMAR: Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model |
| add_data | Add data to object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
| add_dfs | Add random dfs to a vector |
| all_pos_ints | Check whether all arguments are positive scalar whole numbers |
| calc_gradient | Calculate gradient or Hessian matrix |
| calc_hessian | Calculate gradient or Hessian matrix |
| changeRegime | Change the specified regime of parameter vector to the given regime-parameter vector |
| change_parametrization | Change parametrization of the parameter vector |
| checkAndCorrectData | Check the data is set correctly and correct if not |
| checkConstraintMat | Check the constraint matrices |
| checkPM | Check p and M are correctly set |
| check_data | Check that given object contains data |
| check_gsmar | Check that given object has class attribute 'gsmar' |
| check_model | Check that the argument model is correctly specified. |
| check_params_length | Check that the parameter vector has the correct dimension |
| diagnosticPlot | Quantile residual based diagnostic plots for GMAR, StMAR and G-StMAR models |
| extractRegime | Extract regime from a parameter vector |
| fitGMAR | fitGMAR is deprecated |
| fitGSMAR | Estimate Gaussian or Student's t Mixture Autoregressive model |
| forecastGMAR | forecastGMAR is deprecated |
| format_valuef | Function factory for value formatting |
| GAfit | Genetic algorithm for preliminary estimation of GMAR, StMAR or G-StMAR model |
| getOmega | Generate covariance matrix Omega for quantile residual tests |
| get_ar_roots | Calculate absolute values of the roots of the AR characteristic polynomials |
| get_gradient | Calculate gradient or Hessian matrix |
| get_hessian | Calculate gradient or Hessian matrix |
| get_IC | Calculate AIC, HQIC and BIC |
| get_regime_means | Calculate and return regime means mu_{m} |
| GSMAR | Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
| isIdentifiable | Check the stationary and identification conditions of specified GMAR, StMAR or G-StMAR model. |
| isStationary | Check the stationary condition of specified GMAR, StMAR or G-StMAR model. |
| isStationary_int | Check the stationary and identification conditions 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 |
| loglikelihood_int | Compute the log-likelihood of GMAR, StMAR or G-StMAR model |
| mixingWeights | Calculate mixing weights of GMAR, StMAR or G-StMAR model |
| mixingWeights_int | Calculate mixing weights of GMAR, StMAR or G-StMAR model |
| nParams | Calculate the number of parameters |
| parameterChecks | Check the parameter vector is specified correctly |
| pick_alphas | Pick mixing weights parameters from parameter vector |
| pick_dfs | Pick degrees of freedom parameters from parameter vector |
| pick_pars | Pick phi_0/mu, AR-coefficients and variance parameters from parameter vector |
| pick_phi0 | Pick phi0 or mean parameters from 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 or G-StMAR model |
| plotGMAR | plotGMAR is deprecated |
| 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 or G-StMAR model |
| quantileResiduals | Compute quantile residuals of GMAR, StMAR or G-StMAR model |
| quantileResiduals_int | Compute quantile residuals of GMAR, StMAR or G-StMAR model |
| quantileResidualTests | Quantile residual tests for GMAR, StMAR or G-StMAR model |
| randomIndividual | Create somewhat random GMAR, StMAR or G-StMAR model compatible parameter vector |
| randomIndividual_int | Create random GMAR, StMAR or G-StMAR model compatible parameter vector |
| random_regime | Create random regime |
| reformConstrainedPars | Reform parameter vector with linear constraints to correspond non-constrained parameter vector. |
| reformParameters | Reform any parameter vector into standard form. |
| reformRestrictedPars | Reform parameter vector with restricted autoregressive parameters to correspond non-restricted parameter vector. |
| regime_distance | Calculate "distance" between two regimes |
| removeAllConstraints | Transform constrainted and restricted parameter vector into the regular form |
| residuals.gsmar | Create object of class 'gsmar' defining a GMAR, StMAR or G-StMAR model |
| simulateGMAR | simulateGMAR is deprecated |
| simulateGSMAR | Simulate values from GMAR, StMAR or G-StMAR process |
| smartIndividual | Create somewhat random GMAR, StMAR or G-StMAR model compatible parameter vector |
| smartIndividual_int | Create random GMAR, StMAR or G-StMAR model compatible parameter vector |
| sortComponents | Sort the mixture components of GMAR, StMAR or G-StMAR model |
| standardErrors | Calculate standard errors for estimates of GMAR, StMAR or GStMAR model |
| 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 gsmar model |
| VIX | CBOE Volatility Index: VIX |