# Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

## Documentation for package ‘uGMAR’ version 3.6.0

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

uGMAR-package | uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
add_data | Add data to object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
alt_gsmar | Construct a GSMAR model based on results from an arbitrary estimation round of 'fitGSMAR'
calc_gradient | Calculate gradient or Hessian matrix
calc_hessian | Calculate gradient or Hessian matrix
cond_moments | Calculate conditional moments of GMAR, StMAR, or G-StMAR model
cond_moment_plot | Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models
diagnostic_plot | Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models
fitGSMAR | Estimate Gaussian or Student's t Mixture Autoregressive model
GAfit | Genetic algorithm for preliminary estimation of GMAR, StMAR, or G-StMAR model
get_ar_roots | Calculate absolute values of the roots of the AR characteristic polynomials
get_foc | Calculate gradient or Hessian matrix
get_gradient | Calculate gradient or Hessian matrix
get_hessian | Calculate gradient or Hessian matrix
get_regime_autocovs | Calculate regime specific autocovariances *gamma*_{m,p}
get_regime_means | Calculate regime specific means mu_{m}
get_regime_vars | Calculate regime specific variances gamma_{m,0}
get_soc | Calculate gradient or Hessian matrix
GSMAR | Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
is_stationary | Check the stationary condition 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
LR_test | Perform likelihood ratio test
M10Y1Y | Spread between 10-Year and 1-Year Treasury rates: M10Y1Y
mixing_weights | Calculate mixing weights of GMAR, StMAR or G-StMAR model
pick_pars | Pick phi_0 (or mu), AR-coefficients, and variance parameters from a 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 , and G-StMAR models
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 , and G-StMAR models
profile_logliks | Plot profile log-likelihoods around the estimates
quantile_residuals | Compute quantile residuals of GMAR, StMAR, or G-StMAR model
quantile_residual_plot | Plot quantile residual time series and histogram
quantile_residual_tests | Quantile residual tests for GMAR, StMAR , and G-StMAR models
random_ind | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
reform_parameters | Reform any parameter vector into standard form.
residuals.gsmar | Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model
simudata | Simulated data
simulate.gsmar | Simulate obsercations from GMAR, StMAR, and G-StMAR processes
smart_ind | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
stmarpars_to_gstmar | Transform a StMAR or G-StMAR model parameter vector to a corresponding G-StMAR model parameter vector with large dfs parameters reduced.
stmar_to_gstmar | Estimate a G-StMAR model based on a StMAR model with large degrees of freedom parameters
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 GMAR, StMAR, or G-StMAR model
T10Y1Y | Spread between 10-Year and 1-Year Treasury rates: T10Y1Y
TBFF | Spread between the 3-month Treasury bill rate and the effective federal funds rate: TBFF
uGMAR | uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
uncond_moments | Calculate unconditional mean, variance, first p autocovariances and autocorrelations of the GSMAR process.
Wald_test | Perform Wald test