Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
Overview
Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR), Student's t Mixture Autoregressive (StMAR), and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models, quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) doi:10.1111/jtsa.12108, Mika Meitz, Daniel Preve, Pentti Saikkonen (2023) doi:10.1080/03610926.2021.1916531, Savi Virolainen (2022) doi:10.1515/snde-2020-0060.
- Updated the references in the vignette.
- Updated the maintainer information.
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 79 (39 internal)includes a package overview page
- Examples that run
- 60%18 run in a plain check · 12 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 51%
Downloads
Repository
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Issues over time
Commits over time
2 development-tooling and community-health practices detected across 2 families in the upstream repository
Checks run against github.com/saviviro/ugmar on 2026-10-21.
Dependencies
Installing uGMAR adds 3 packages (1 with compiled code, 584 KB of source tarballs). Heaviest: Brobdingnag 334 KB, gsl 227 KB, pbapply 23 KB.
Code & Tests
Datasets
People & History
Pick two releases to compare their code metrics.
- 3.6.1Latest
- RR 4.6.0 released · 2026-04-24
- 3.6.02025-06-19 · diff ↗ ·
removed 11 exports
condMoments, condmomentPlot, diagnosticPlot, isStationary, mixingWeights, quantileResidualPlot, quantileResidualTests, quantileResiduals, randomIndividual, simulateGSMAR, smartIndividual - RR 4.5.0 released · 2025-04-11
- 3.5.22025-04-07 · diff ↗
- 3.5.12024-12-04 · diff ↗
- 3.5.02024-07-04 · diff ↗
- RR 4.4.0 released · 2024-04-24
- 3.4.52023-08-19 · diff ↗
- RR 4.3.0 released · 2023-04-21
- 3.4.42023-02-15 · diff ↗
- 3.4.32022-06-07 · diff ↗
- RR 4.2.0 released · 2022-04-22
- 3.4.22022-01-24 · diff ↗
- 3.4.12022-01-18 · diff ↗
- 3.4.02021-09-02 · diff ↗
Show 25 earlier eventsHide 25 earlier events
- 3.3.22021-07-08 · diff ↗
- RR 4.1.0 released · 2021-05-18
- 3.3.12021-05-12 · diff ↗
- 3.3.02021-02-12 · diff ↗ ·
removed 1 export
uncondMomentsadded 11 exports
cond_moment_plot, cond_moments, diagnostic_plot, is_stationary, mixing_weights, quantile_residual_plot, quantile_residual_tests, quantile_residuals, random_ind, smart_ind, uncond_moments - 3.2.6
- RR 4.0.0 released · 2020-04-24
- 3.2.5
- 3.2.42020-03-20 · diff ↗
- 3.2.32020-03-12 · diff ↗
- 3.2.2
- 3.2.12019-12-11 · diff ↗
- 3.2.0
- 3.1.02019-06-26 · diff ↗ ·
removed 4 exports
fitGMAR, forecastGMAR, plotGMAR, simulateGMARadded 9 exports
GAfit, condMoments, get_regime_autocovs, get_regime_vars, get_soc, quantileResidualPlot, stmar_to_gstmar, stmarpars_to_gstmar, uncondMoments - RR 3.6.0 released · 2019-04-26
- 3.0.1
- 3.0.02018-08-09 · diff ↗ ·
added 12 exports
GSMAR, add_data, calc_gradient, calc_hessian, diagnosticPlot, fitGSMAR, get_gradient, get_hessian, get_regime_means, iterate_more, simulateGSMAR, swap_parametrization - 2.0.32018-07-20 · diff ↗
- 2.0.22018-07-05 · diff ↗
- RR 3.5.0 released · 2018-04-23
- 2.0.12018-04-14 · diff ↗
- 2.0.02018-02-26 · diff ↗
- 1.0.22017-10-16 · diff ↗
- 1.0.12017-08-29 · diff ↗
- 1.0.02017-08-28
- RR 3.4.0 released · 2017-04-21
Package metadata
- First published
- 2017-08-28
- Total releases
- 31 / 9 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.4.0
- Bundled data
- 8.1 KB / 4 files
- Download size
- 718 KB
Cite
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