Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR) and Student's t Mixture Autoregressive (StMAR) models, including quantile residual tests and graphical diagnostics, as well as forecasting, and simulation from GMAR and StMAR processes.
Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) models, including quantile residual tests and graphical diagnostics, as well as forecasting and simulations from GMVAR processes.