MSwM

Fitting Markov Switching Models

Estimation, inference and diagnostics for Univariate Autoregressive Markov Switching Models for Linear and Generalized Models. Distributions for the series include gaussian, Poisson, binomial and gamma cases. The EM algorithm is used for estimation (see Perlin (2012) <doi:10.2139/ssrn.1714016>).

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Description file content

Package
MSwM
Type
Package
Title
Fitting Markov Switching Models
Version
1.4
Date
2018-06-25
Author
Josep A. Sanchez-Espigares, Alberto Lopez-Moreno
Maintainer
Josep A. Sanchez-Espigares
Description
Estimation, inference and diagnostics for Univariate Autoregressive Markov Switching Models for Linear and Generalized Models. Distributions for the series include gaussian, Poisson, binomial and gamma cases. The EM algorithm is used for estimation (see Perlin (2012) ).
License
GPL (>= 2.0)
Depends
methods, graphics, parallel
Imports
nlme
NeedsCompilation
no
Packaged
2018-07-16 11:37:51 UTC; josepa
RoxygenNote
6.0.1
Repository
CRAN
Date/Publication
2018-07-16 17:40:12 UTC

install.packages('MSwM')

1.4

a month ago

Josep A. Sanchez-Espigares

GPL (>= 2.0)

Depends on

methods, graphics, parallel

Imports

nlme

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