BMTAR

Implements parameter estimation using a Bayesian approach for Multivariate Threshold Autoregressive (MTAR) models with missing data using Markov Chain Monte Carlo methods. Performs the simulation of MTAR processes (mtarsim()), estimation of matrix parameters and the threshold values (mtarns()), identification of the autoregressive orders using Bayesian variable selection (mtarstr()), identification of the number of regimes using Metropolised Carlin and Chib (mtarnumreg()) and estimate missing data, coefficients and covariance matrices conditional on the autoregressive orders, the threshold values and the number of regimes (mtarmissing()). Calderon and Nieto (2017) doi:10.1080/03610926.2014.990758.

Last 30 days

This package has been downloaded 249 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 5 times.

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Last 365 days

This package has been downloaded 3,095 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jan 21, 2025 with 37 downloads.

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