Mixture Autoregressive Models

Documentation for package ‘mixAR’ version 0.22.8

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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