# Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model

## Documentation for package ‘uGMAR’ version 3.3.1

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

## Help Pages

A C D E F G I L M N P Q R S T U W

## -- A --

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 strictly positive natural numbers
alt_gsmar | Construct a GSMAR model based on results from an arbitrary estimation round of 'fitGSMAR'

## -- C --

calc_gradient | Calculate gradient or Hessian matrix
calc_hessian | Calculate gradient or Hessian matrix
change_parametrization | Change parametrization of a parameter vector
change_regime | Change the specified regime of parameter vector to the given regime-parameter vector
check_and_correct_data | Check that the data is set correctly and correct if not
check_constraint_mat | Check the constraint matrices
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
check_pM | Check that p and M are correctly set
condmomentPlot | DEPRECATED, USE 'cond_moment_plot' INSTEAD! Conditional mean or variance plot for GMAR, StMAR, and G-StMAR models
condMoments | DEPRECATED, USE 'cond_moments' INSTEAD! Calculate conditional moments of GMAR, StMAR, or G-StMAR model
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

## -- D --

diagnosticPlot | DEPRECATED, USE 'diagnostic_plot' INSTEAD! Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models
diagnostic_plot | Quantile residual based diagnostic plots for GMAR, StMAR, and G-StMAR models

## -- E --

extract_regime | Extract regime from a parameter vector

## -- F --

fitGSMAR | Estimate Gaussian or Student's t Mixture Autoregressive model
format_valuef | Function factory for formatting values

## -- G --

GAfit | Genetic algorithm for preliminary estimation of GMAR, StMAR, or G-StMAR model
get_alpha_mt | Get mixing weights alpha_mt (this function is for internal use)
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_IC | Calculate AIC, HQIC and BIC
get_minval | Returns the default smallest allowed log-likelihood for given data.
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
get_test_Omega | Generate the covariance matrix Omega for quantile residual tests
get_varying_h | Get differences 'h' which are adjusted for overly large degrees of freedom parameters
GSMAR | Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model

## -- I --

isStationary | DEPRECATED, USE 'is_stationary' INSTEAD! Check the stationary condition of specified GMAR, StMAR, or G-StMAR model.
is_identifiable | Check the stationarity and identification conditions of specified GMAR, StMAR, or G-StMAR model.
is_stationary | Check the stationary condition of specified GMAR, StMAR, or G-StMAR model.
is_stationary_int | Check the stationarity 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

## -- L --

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
LR_test | Perform likelihood ratio test

## -- M --

M10Y1Y | Spread between 10-Year and 1-Year treasury rates: M10Y1Y
mixingWeights | DEPRECATED, USE 'mixing_weights' INSTEAD! Calculate mixing weights of GMAR, StMAR or G-StMAR model
mixing_weights | Calculate mixing weights of GMAR, StMAR or G-StMAR model
mixing_weights_int | Calculate mixing weights of a GMAR, StMAR, or G-StMAR model

## -- N --

n_params | Calculate the number of parameters

## -- P --

parameter_checks | Check the parameter vector is specified correctly
pick_alphas | Pick mixing weights parameters from parameter vector
pick_dfs | Pick degrees of freedom parameters from a parameter vector
pick_pars | Pick phi_0 (or mu), AR-coefficients, and variance parameters from a 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 , 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.lr | Perform likelihood ratio test
print.qrtest | Quantile residual tests for GMAR, StMAR , and G-StMAR models
print.wald | Perform Wald test
profile_logliks | Plot profile log-likelihoods around the estimates

## -- Q --

quantileResidualPlot | DEPRECATED, USE 'quantile_residual_plot' INSTEAD! Plot quantile residual time series and histogram
quantileResiduals | DEPRECATED, USE 'quantile_residuals' INSTEAD! Compute quantile residuals of GMAR, StMAR, or G-StMAR model
quantileResidualTests | DEPRECATED, USE 'quantile_residual_tests' INSTEAD! Quantile residual tests for GMAR, StMAR , and G-StMAR models
quantile_residuals | Compute quantile residuals of GMAR, StMAR, or G-StMAR model
quantile_residuals_int | 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

## -- R --

randomIndividual | DEPRECATED, USE 'random_ind' OR 'smart_ind' INSTEAD! Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
random_arcoefs | Create random AR coefficients
random_ind | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
random_ind_int | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
random_regime | Create random regime parameters
reform_constrained_pars | Reform parameter vector with linear constraints to correspond non-constrained parameter vector.
reform_parameters | Reform any parameter vector into standard form.
reform_restricted_pars | Reform parameter vector with restricted autoregressive parameters to correspond non-restricted parameter vector.
regime_distance | Calculate "distance" between two regimes
remove_all_constraints | Transform constrained and restricted parameter vector into the regular form
residuals.gsmar | Create object of class 'gsmar' defining a GMAR, StMAR, or G-StMAR model

## -- S --

simudata | Simulated data
simulateGSMAR | Simulate values from GMAR, StMAR, and G-StMAR processes
smartIndividual | DEPRECATED, USE 'random_ind' OR 'smart_ind' INSTEAD! Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
smart_ind | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
smart_ind_int | Create random GMAR, StMAR, or G-StMAR model compatible parameter vector
sort_components | Sort the mixture components of a GMAR, StMAR, or G-StMAR model
standard_errors | Calculate standard errors for estimates of a GMAR, StMAR, or G-StMAR model
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

## -- T --

T10Y1Y | Spread between 10-Year and 1-Year treasury rates: T10Y1Y

## -- U --

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.
uncond_moments_int | Calculate unconditional mean, variance, and the first p autocovariances and autocorrelations of a GSMAR process.

## -- W --

Wald_test | Perform Wald test
warn_ar_roots | Warn about near-unit-roots in some regimes
warn_dfs | Warn about large degrees of freedom parameter values