Code for Ren, B. and Barnett, I. (2022), Autoregressive mixture models for clustering time series. J. Time Ser. Anal., 43: 918-937. https://doi.org/10.1111/jtsa.12644 https://onlinelibrary.wiley.com/doi/abs/10.1111/jtsa.12644
mixture-model em-algorithm time-series-analysis wishart robust-statistics sandwich-estimator latent-class-analysis latent-class-model yule-walker stationary-process
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Updated
Aug 21, 2023 - R