Simulate data sets given a dependence model, validate
graphical models using the bootstrap, find the best prediction
model using cross validation.
grid, epitools, mimR, CoCo, CoCoObjects, CoCoRaw, CoCoCore,
gtools

R (>= 2.7.0), grid, epitools, CoCo, CoCoObjects, CoCoRaw,
CoCoCore, gtools

Simulate data sets given a dependence model,
validate graphical models using the bootstrap,
find the best prediction model using cross validation.
R (>= 2.7.0), grid, epitools, CoCo, CoCoObjects, CoCoRaw, CoCoCore, gtools

Estimate Gaussian Mixture Vector Autoregressive Model
person("Savi", "Virolainen", email = "savi.virolainen@helsinki.fi", role = c("aut", "cre"))
Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR)
model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying
general linear constraints to the autoregressive parameters is supported.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Unconstrained and constrained maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR)
model, quantile residual tests, graphical diagnostics, simulations, and forecasting.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>.

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics,
simulations, forecasting, and estimation of generalized impulse response function.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics,
simulations, forecasting, and estimation of generalized impulse response function and generalized
forecast error variance decomposition.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.