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) <1901.09600v1> 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. 18.104.22.168/VIAA/1/16/075.1901.09600v1>