R: Mixture Autoregressive Models

# Mixture Autoregressive Models

## Documentation for package ‘mixAR’ version 0.22.9

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

A B C D E F G I L M N P R S T misc

mixAR-package | Mixture Autoregressive Models

## -- A --

anyNA-method | Class '"raggedCoef"' - ragged list objects

## -- B --

bayes_mixAR | Bayesian sampling of mixture autoregressive models
BIC_comp | BIC based model selection for MixAR models
b_show | Generator functions for noise distributions

## -- C --

Choose_pk | Choose the autoregressive order of MixAR components
cond_loglik | Log-likelihood of MixAR models
cond_loglikS | Log-likelihood of MixAR models

## -- D --

dim-method | Class '"MixComp"' - manipulation of MixAR time series
dim-method | Class '"raggedCoef"' - ragged list objects
distlist | Generator functions for noise distributions
dist_norm | Functions for the standard normal distribution

## -- E --

ed_nparam | Generator functions for noise distributions
ed_parse | Generator functions for noise distributions
ed_skeleton | Generator functions for noise distributions
ed_src | Generator functions for noise distributions
ed_stdnorm | Generator functions for noise distributions
ed_stdt | Generator functions for noise distributions
ed_stdt0 | Generator functions for noise distributions
ed_stdt1 | Generator functions for noise distributions
em_est_dist | Optimise scale parameters in MixARgen models
em_est_sigma | Update the scale parameters of MixAR models
em_rinit | Gaussian EM-step with random initialisation
est_templ | Create estimation templates from MixAR model objects
etk2tau | Gaussian EM-step with random initialisation
exampleModels | MixAR models for examples and testing

## -- F --

fdist_stdnorm | Generator functions for noise distributions
fdist_stdt | Generator functions for noise distributions
fit_mixAR | Fit mixture autoregressive models
fit_mixAR-method | Fit mixture autoregressive models
fit_mixAR-methods | Fit mixture autoregressive models
fit_mixARreg | Fit time series regression models with mixture autoregressive residuals
fit_mixARreg-method | Fit time series regression models with mixture autoregressive residuals
fit_mixARreg-methods | Fit time series regression models with mixture autoregressive residuals
fit_mixVAR | Fit mixture vector autoregressive models
fit_mixVAR-method | Fit mixture vector autoregressive models
fit_mixVAR-methods | Fit mixture vector autoregressive models
fnoise | Generator functions for noise distributions
fn_stdt | Generator functions for noise distributions
ft_stdt | Generator functions for noise distributions

## -- G --

get_edist | Internal mixAR functions
get_edist-method | Methods for function 'get_edist' in package 'mixAR'
get_edist-methods | Methods for function 'get_edist' in package 'mixAR'

## -- I --

inner | Generalised inner product and methods for class '"MixComp"'
inner-method | Generalised inner product and methods for class '"MixComp"'
inner-methods | Generalised inner product and methods for class '"MixComp"'
isStable | Check if a MixAR model is stable

## -- L --

label_switch | A posteriori relabelling of a Markov chain
length-method | Class '"raggedCoef"' - ragged list objects
lik_params | Vector of parameters of a MixAR model
lik_params-method | Vector of parameters of a MixAR model
lik_params-methods | Vector of parameters of a MixAR model

## -- M --

make_fcond_lik | Create a function for computation of conditional likelihood
make_fcond_lik-method | Create a function for computation of conditional likelihood
make_fcond_lik-methods | Create a function for computation of conditional likelihood
marg_loglik | Calculate marginal loglikelihood at high density points of a MAR model.
mixAny_sim | Simulate from MixAR models
mixAR | Create MixAR objects
MixAR-class | Class '"MixAR"' - mixture autoregressive models
mixAR-method | Create MixAR objects
mixAR-methods | Create MixAR objects
mixARemFixedPoint | EM estimation for mixture autoregressive models
MixARGaussian | mixAR models with Gaussian noise components
MixARGaussian-class | mixAR models with Gaussian noise components
mixARgen | Class '"MixARgen"'
MixARgen-class | Class '"MixARgen"'
mixARgenemFixedPoint | EM estimation for mixture autoregressive models
mixARnoise_sim | Simulate white noise series from a list of functions and vector of regimes
mixARreg | Fit time series regression models with mixture autoregressive residuals
mixAR_BIC | BIC based model selection for MixAR models
mixAR_cond_probs | The E-step of the EM algorithm for MixAR models
mixAR_diag | Diagnostic checks for mixture autoregressive models
mixAR_permute | Relabel the components of a MixAR model
mixAR_sim | Simulate from MixAR models
mixAR_switch | Relabel the components of a MixAR model
MixComp-class | Class '"MixComp"' - manipulation of MixAR time series
mixFilter | Filter time series with MixAR filters
mixFilter-method | Filter time series with MixAR filters
mixFilter-methods | Filter time series with MixAR filters
mixgenMstep | M-step for models from class MixARgen
mixMstep | Internal functions for estimation of MixAR models with Gaussian components
mixSARfit | Fit mixture autoregressive models with seasonal AR parameters
MixVAR-class | Class '"MixVAR"' - mixture vector autoregressive models
mixVARfit | Fit mixture vector autoregressive models
MixVARGaussian | MixVAR models with multivariate Gaussian noise components
MixVARGaussian-class | MixVAR models with multivariate Gaussian noise components
mixVAR_sim | Simulate from multivariate MixAR models
mix_cdf | Conditional pdf's and cdf's of MixAR models
mix_cdf-method | Conditional pdf's and cdf's of MixAR models
mix_cdf-methods | Conditional pdf's and cdf's of MixAR models
mix_central_moment | Conditional moments of MixAR models
mix_ek | Function and methods to compute component residuals for MixAR models
mix_ek-method | Function and methods to compute component residuals for MixAR models
mix_ek-methods | Function and methods to compute component residuals for MixAR models
mix_ekurtosis | Conditional moments of MixAR models
mix_hatk | Compute component predictions for MixAR models
mix_hatk-method | Compute component predictions for MixAR models
mix_hatk-methods | Compute component predictions for MixAR models
mix_kurtosis | Conditional moments of MixAR models
mix_location | Conditional moments of MixAR models
mix_moment | Conditional moments of MixAR models
mix_ncomp | Number of rows or columns of a MixComp object
mix_ncomp-method | Number of rows or columns of a MixComp object
mix_ncomp-methods | Number of rows or columns of a MixComp object
mix_pdf | Conditional pdf's and cdf's of MixAR models
mix_pdf-method | Conditional pdf's and cdf's of MixAR models
mix_pdf-methods | Conditional pdf's and cdf's of MixAR models
mix_qf | Conditional quantile functions of MixAR models
mix_qf-method | Conditional quantile functions of MixAR models
mix_qf-methods | Conditional quantile functions of MixAR models
mix_se | Compute standard errors of estimates of MixAR models
mix_se-method | Compute standard errors of estimates of MixAR models
mix_se-methods | Compute standard errors of estimates of MixAR models
mix_variance | Conditional moments of MixAR models
moT_A | MixAR models for examples and testing
moT_B | MixAR models for examples and testing
moT_B2 | MixAR models for examples and testing
moT_B3 | MixAR models for examples and testing
moT_C1 | MixAR models for examples and testing
moT_C2 | MixAR models for examples and testing
moT_C3 | MixAR models for examples and testing
moWL | MixAR models for examples and testing
moWLar | MixAR models for examples and testing
moWLgen | MixAR models for examples and testing
moWLprob | MixAR models for examples and testing
moWLsigma | MixAR models for examples and testing
moWLt3v | MixAR models for examples and testing
moWLtf | MixAR models for examples and testing
moWL_A | MixAR models for examples and testing
moWL_B | MixAR models for examples and testing
moWL_I | MixAR models for examples and testing
moWL_II | MixAR models for examples and testing
multiStep_dist | Multi-step predictions for MixAR models
multiStep_dist-method | Multi-step predictions for MixAR models
multiStep_dist-methods | Multi-step predictions for MixAR models

## -- N --

noise_dist | Internal mixAR functions
noise_dist-method | Methods for function 'noise_dist' in package 'mixAR'
noise_dist-methods | Methods for function 'noise_dist' in package 'mixAR'
noise_params | Internal mixAR functions
noise_params-method | Methods for function 'noise_params' in package 'mixAR'
noise_params-methods | Methods for function 'noise_params' in package 'mixAR'
noise_rand | Internal mixAR functions
noise_rand-method | Methods for function 'noise_rand' in package 'mixAR'
noise_rand-methods | Methods for function 'noise_rand' in package 'mixAR'

## -- P --

parameters | Set or extract the parameters of MixAR objects
parameters-method | Set or extract the parameters of MixAR objects
parameters-methods | Set or extract the parameters of MixAR objects
parameters<- | Set or extract the parameters of MixAR objects
parameters<--method | Set or extract the parameters of MixAR objects
parameters<--methods | Set or extract the parameters of MixAR objects
percent_of | Infix operator to apply functions to matrix-like objects
permn_cols | All permutations of the columns of a matrix
permuteArpar | Translations of my old MixAR Mathematica functions
PortfolioData1 | Closing prices of four stocks
predict_coef | Exact predictive parameters for multi-step MixAR prediction

## -- R --

ragged2vec | Small utilities for ragged objects
raggedCoef | Class '"raggedCoef"' - ragged list objects
raggedCoef-class | Class '"raggedCoef"' - ragged list objects
raggedCoefS | Class '"raggedCoefS"' - ragged list
raggedCoefS-class | Class '"raggedCoefS"' - ragged list
raggedCoefV | Class '"raggedCoefV"' - ragged list
raggedCoefV-class | Class '"raggedCoefV"' - ragged list
raghat1 | Filter a time series with options to shift and scale
rag_modify | Small utilities for ragged objects
randomArCoefficients | Random initial values for MixAR estimation
randomMarParametersKernel | Random initial values for MixAR estimation
randomMarResiduals | Random initial values for MixAR estimation
row_lengths | Methods for function 'row_lengths' in package 'mixAR'
row_lengths-method | Methods for function 'row_lengths' in package 'mixAR'
row_lengths-methods | Methods for function 'row_lengths' in package 'mixAR'

## -- S --

sampMuShift | Sampling functions for Bayesian analysis of mixture autoregressive models
sampSigmaTau | Sampling functions for Bayesian analysis of mixture autoregressive models
sampZpi | Sampling functions for Bayesian analysis of mixture autoregressive models
set_noise_params | Internal mixAR functions
set_parameters | Set or extract the parameters of MixAR objects
set_parameters-method | Set or extract the parameters of MixAR objects
set_parameters-methods | Set or extract the parameters of MixAR objects
show_diff | Show differences between two models
show_diff-method | Show differences between two models
show_diff-methods | Show differences between two models
simuExperiment | Perform simulation experiments
stdnormabsmoment | Compute moments and absolute moments of standardised-t and normal distributions
stdnormmoment | Compute moments and absolute moments of standardised-t and normal distributions
stdtabsmoment | Compute moments and absolute moments of standardised-t and normal distributions
stdtmoment | Compute moments and absolute moments of standardised-t and normal distributions

## -- T --

tabsmoment | Compute moments and absolute moments of standardised-t and normal distributions
tau2arcoef | Internal functions for estimation of MixAR models with Gaussian components
tauCorrelate | Internal functions for estimation of MixAR models with Gaussian components
tauetk2sigmahat | Update the scale parameters of MixAR models
tomarparambyComp | Translations of my old MixAR Mathematica functions
tomarparambyType | Translations of my old MixAR Mathematica functions
tsDesignMatrixExtended | Random initial values for MixAR estimation
tsdiag | Diagnostic checks for mixture autoregressive models
tsdiag.MixAR | Diagnostic checks for mixture autoregressive models

## -- misc --

%of% | Infix operator to apply functions to matrix-like objects
%of%-method | Infix operator to apply functions to matrix-like objects
%of%-methods | Infix operator to apply functions to matrix-like objects
*-method | Class '"MixComp"' - manipulation of MixAR time series
+-method | Class '"MixComp"' - manipulation of MixAR time series
--method | Class '"MixComp"' - manipulation of MixAR time series
/-method | Class '"MixComp"' - manipulation of MixAR time series
[-method | Class '"raggedCoef"' - ragged list objects
[-method | Class '"raggedCoefS"' - ragged list
[-method | Class '"raggedCoefV"' - ragged list
[-methods | Class '"raggedCoef"' - ragged list objects
[<--method | Class '"raggedCoef"' - ragged list objects
[[-method | Class '"raggedCoef"' - ragged list objects
[[-method | Class '"raggedCoefS"' - ragged list
[[-method | Class '"raggedCoefV"' - ragged list
[[-methods | Class '"raggedCoef"' - ragged list objects
[[<--method | Class '"raggedCoef"' - ragged list objects
[[<--method | Class '"raggedCoefS"' - ragged list
[[<--methods | Class '"raggedCoef"' - ragged list objects
^-method | Class '"MixComp"' - manipulation of MixAR time series