NHMSAR

Non-Homogeneous Markov Switching Autoregressive Models

Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations. Penalization methods are implemented for Markov Switching Vector Autoregressive Models of order 1 only. Most functions of the package handle missing values.

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Description file content

Package
NHMSAR
Type
Package
Title
Non-Homogeneous Markov Switching Autoregressive Models
Version
1.12
Date
2018-09-23
Author
Valerie Monbet
Maintainer
Valerie Monbet
Description
Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations. Penalization methods are implemented for Markov Switching Vector Autoregressive Models of order 1 only. Most functions of the package handle missing values.
License
GPL
Imports
ucminf, lars, glasso, ncvreg
NeedsCompilation
no
Packaged
2018-09-23 12:39:10 UTC; valerie
Repository
CRAN
Date/Publication
2018-09-23 13:00:03 UTC

install.packages('NHMSAR')

1.12

2 months ago

Valerie Monbet

GPL

Imports

ucminf, lars, glasso, ncvreg

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