MARX: Simulation, Estimation, Model Selection and Forecasting for MARX Models

Simulate, estimate (by t-MLE), select and forecast mixed causal-noncausal autoregressive models with possibly exogenous regressors, using methods proposed in Lanne and Saikkonen (2011) <doi:10.2202/1941-1928.1080> and Hecq et al. (2016) <doi:10.15609/annaeconstat2009.123-124.0307>.

Version: 0.2
Imports: matlab, fBasics, tseries, stabledist, metRology
Published: 2018-04-24
Author: Sean Telg [aut, cre, cph], Alain Hecq [ctb], Lenard Lieb [ctb]
Maintainer: Sean Telg <j.telg at maastrichtuniversity.nl>
License: GPL-2
NeedsCompilation: no
CRAN checks: MARX results

Documentation:

Reference manual: MARX.pdf

Downloads:

Package source: MARX_0.2.tar.gz
Windows binaries: r-devel: MARX_0.2.zip, r-release: MARX_0.2.zip, r-oldrel: MARX_0.2.zip
macOS binaries: r-release (arm64): MARX_0.2.tgz, r-release (x86_64): MARX_0.2.tgz, r-oldrel: MARX_0.2.tgz
Old sources: MARX archive

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