Package: mtarm 0.1.9

Luis Hernando Vanegas

mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.

Authors:Luis Hernando Vanegas [aut, cre], Sergio Alejandro Calderón [aut], Luz Marina Rondón [aut]

mtarm_0.1.9.tar.gz
mtarm_0.1.9.tar.gz(r-4.7-any)mtarm_0.1.9.tar.gz(r-4.6-any)
mtarm_0.1.9.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
mtarm/json (API)

# Install 'mtarm' in R:
install.packages('mtarm', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/lhvanegasp/mtarm/issues

Pkgdown/docs site:https://lhvanegasp.github.io

Datasets:
  • iceland.rf - Temperature, precipitation, and two river flows in Iceland
  • returns - Returns of the closing prices of three financial indexes
  • riverflows - Rainfall and two river flows in Colombia
  • US.returns - U.S. Stock Returns

On CRAN:

Conda:

3.70 score 25 scripts 239 downloads 11 exports 13 dependencies

Last updated from:cfe0d81e90. Checks:4 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK144
source / vignettesOK302
linux-release-x86_64OK140
wasm-releaseOK113

Exports:arsDICeffectiveSize_TARgeweke_diagTARgeweke_plotTARmtarmtar_gridout_of_samplepriorssimtarWAIC

Dependencies:codacodetoolsdigestFormulafuturefuture.applyGIGrvgglobalslatticelistenvmvtnormparallellyprogressr

Introduction to the mtarm Package

Luis Hernando Vanegas, Sergio Alejandro Calderón, Luz Marina Rondón

Rendered fromIntroduction.Rmdusingknitr::rmarkdownon Jun 12 2026.

Last update: 2026-06-12
Started: 2026-06-12

Readme and manuals

Help Manual

Help pageTopics
Auxiliary function to specify the number of regimes and lag ordersars
Coercion of 'mtar' objects to 'mcmc' objectsas.mcmc.mtar
coef method for objects of class 'mtar'coef.mtar
Deviance Information Criterion (DIC)DIC
Deviance Information Criterion (DIC) for objects of class 'mtar'DIC.mtar
Effective sample size for 'mtar' objectseffectiveSize_TAR
Geweke's convergence diagnostic for 'mtar' objectsgeweke_diagTAR
Geweke-Brooks plot for objects of class 'mtar'geweke_plotTAR
Highest Posterior Density intervals for objects of class 'mtar'HPDinterval.mtar
Temperature, precipitation, and two river flows in Icelandiceland.rf
Bayesian estimation of a multivariate Threshold Autoregressive (TAR) model.mtar
Bayesian Estimation of Multivariate TAR Modelsmtar_grid
Out-of-sample predictive accuracy measuresout_of_sample
Computing Out-of-Sample predictive accuracy measuresout_of_sample.listmtar
Computing Out-of-Sample predictive accuracy measuresout_of_sample.mtar
Forecasting for multivariate TAR modelspredict.mtar
Auxiliary function for setting hyperparameter valuespriors
Returns of the closing prices of three financial indexesreturns
Rainfall and two river flows in Colombiariverflows
Simulation of multivariate time series from a TAR modelsimtar
U.S. Stock ReturnsUS.returns
vcov method for objects of class 'mtar'vcov.mtar
Watanabe-Akaike or Widely Available Information Criterion (WAIC)WAIC
Watanabe-Akaike or Widely Available Information Criterion (WAIC) for objects of class 'mtar'WAIC.mtar