mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.

Version: 0.1.1
Imports: methods, stats, utils, graphics, Formula, grDevices, GIGrvg, coda
Published: 2024-06-04
DOI: 10.32614/CRAN.package.mtarm
Author: Luis Hernando Vanegas [aut, cre], Sergio Alejandro Calderón [aut], Luz Marina Rondón [aut]
Maintainer: Luis Hernando Vanegas <lhvanegasp at>
License: GPL-2 | GPL-3
NeedsCompilation: no
In views: TimeSeries
CRAN checks: mtarm results


Reference manual: mtarm.pdf


Package source: mtarm_0.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mtarm_0.1.1.tgz, r-oldrel (arm64): mtarm_0.1.1.tgz, r-release (x86_64): mtarm_0.1.1.tgz, r-oldrel (x86_64): mtarm_0.1.1.tgz
Old sources: mtarm archive


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