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) ).


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install.packages("MSwM")

1.4 by Josep A. Sanchez-Espigares, 3 years ago


Browse source code at https://github.com/cran/MSwM


Authors: Josep A. Sanchez-Espigares , Alberto Lopez-Moreno


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2.0) license


Imports nlme

Depends on methods, graphics, parallel


Imported by NTS.

Suggested by ggfortify.


See at CRAN