gmvarkit

2.2.1

Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

0packages depend

5.6Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Savi VirolainenFirst published 2018-07-2835 releasesCRAN page ↗GitHub ↗

Unconstrained and constrained maximum likelihood estimation of structural and reduced form Gaussian mixture vector autoregressive, Student's t mixture vector autoregressive, and Gaussian and Student's t mixture vector autoregressive models, 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 (2025) doi:10.1080/07350015.2024.2322090, Savi Virolainen (in press) doi:10.1016/j.ecosta.2025.09.003.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("gmvarkit", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("saviviro/gmvarkit")

Development version from saviviro/gmvarkit. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-gmvarkit

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-gmvarkit

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-gmvarkit

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 10.5 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.68

not tracked

Coverage

100%

Documentation · exports

Yes

Vignettes

Yes

README

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Downloads

5.6K

CRAN downloads in the past year

Rank #9,326 · ~15/day · ~464/mo

Releases R versions

Daily download trend is not available in this view yet.

36530 days

1.2K90 days

5.6K1 year

Compare downloads with other packages →

Also on125 r2u16 autocran72 c2d4u

Repository

GitHub ↗ saviviro/gmvarkit

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.6.0

Imports (9)

Brobdingnag mvnfast parallel (>= 3.0.0)statspbapply graphics (>= 3.0.0)grDevicesgsl methods (>= 3.0.0)

LinkingTo (0)

none

Suggests (3)

testthat knitr rmarkdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 18,152 (57%)Rd 11,399 (36%)Vignettes 1,445 (5%)Other 800 (3%)

Code characteristics

Object systems

S319

Cyclomatic complexity: 4.0 median / 82 max
Test cases: 88 / 0.68 per code line
Documented parameters: 100%

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

133 44 exported

Complexity

8 avg / 82 max

Call network

133 nodes / 431 edges

Test coverage has not been measured for this package yet; nodes fall back to a neutral fill.

Call graph

Open call graph →

Loading call graph…

Lowest coverage

Per-function coverage is not measured for this package yet.

People & History

People (1)

Maintainer (1)

Savi Virolainen

Author, Maintainer

Authors (1)

Savi Virolainen

Author, Maintainer

Release timeline

35 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
2.2.1Latest
2025-10-06 · current release · diff ↗
2.2.0
2025-06-19 · diff ↗
R
R 4.5.0 released · 2025-04-11
2.1.4
2025-01-08 · diff ↗
2.1.3
2024-12-04 · diff ↗
R
R 4.4.0 released · 2024-04-24
2.1.2
2024-02-29 · diff ↗
2.1.1
2024-01-22 · diff ↗
2.1.0
2023-11-14 · diff ↗
2.0.10
2023-08-19 · diff ↗
2.0.8
2023-06-12 · diff ↗
2.0.7
2023-06-09 · diff ↗
R
R 4.3.0 released · 2023-04-21
2.0.6
2023-02-15 · diff ↗
2.0.5
2022-08-19 · diff ↗

Show 28 earlier events

2.0.4
2022-06-03 · diff ↗
R
R 4.2.0 released · 2022-04-22
2.0.3
2022-04-20 · diff ↗
2.0.2
2022-01-18 · diff ↗
2.0.1
2021-12-14 · diff ↗
2.0.0
2021-11-22 · diff ↗
1.5.0
2021-09-17 · diff ↗
R
R 4.1.0 released · 2021-05-18
1.4.2
2021-05-12 · diff ↗
1.4.1
2021-01-27 · diff ↗
1.4.0
2021-01-11 · diff ↗
1.3.1
2020-12-16 · diff ↗
1.3.0
2020-12-16 · diff ↗
1.2.3
2020-11-03 · diff ↗
1.2.2
2020-10-05 · diff ↗
1.2.1
2020-08-28 · diff ↗
1.2.0
2020-08-24 · diff ↗
R
R 4.0.0 released · 2020-04-24
1.1.3
2020-03-12 · diff ↗
1.1.2
2020-01-21 · diff ↗
1.1.1
2019-08-28 · diff ↗
1.1.0
2019-07-04 · diff ↗
R
R 3.6.0 released · 2019-04-26
1.0.3
2018-09-22 · diff ↗
1.0.2
2018-08-24 · diff ↗
1.0.1
2018-08-13 · diff ↗
1.0.0
2018-07-28
R
R 3.5.0 released · 2018-04-23

Package metadata

First published: 2018-07-28
Total releases: 35 / 8 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.6.0
Bundled data: 28 KB / 4 files
Download size: 882 KB
Installed size: not tracked yet
With dependencies: not tracked yet