mixAR

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) doi:10.1111/1467-9868.00222, Boshnakov (2009) doi:10.1016/j.spl.2009.04.009, and the extensive references in the documentation.

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