Fitting Markov-Modulated Linear Regression Models

A set of tools for fitting Markov-modulated linear regression, where responses Y(t) are time-additive, and model operates in the external environment, which is described as a continuous time Markov chain with finite state space. Model is proposed by Alexander Andronov (2012) and algorithm of parameters estimation is based on eigenvalues and eigenvectors decomposition. Also, package will provide a set of data simulation tools for Markov-modulated linear regression (for academical/research purposes). Research project No.


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0.1.0 by Nadezda Spiridovska, 8 months ago

Browse source code at

Authors: Nadezda Spiridovska [aut, cre] , Diana Santalova [ctb]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports matlib

See at CRAN