Mixture Autoregressive Models

Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) , Boshnakov (2009) ), and the extensive references in the documentation.

'mixAR' is an R package for time series modelling with mixture autoregressive and related models.

Installing mixAR

Install the latest stable version from CRAN:

install.packages("mixAR")

Alternatively, install the development version of mixAR from Github:

remotes::install_github("GeoBosh/mixAR")

Overview

Package mixAR provides functions for modelling with mixture autoregressive (MAR/mixAR) models.

See, for example, the overview of mixAR and model fitting functions such as fit_mixAR and bayes_mixAR.