uGMAR

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.