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) ).


Reference manual

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1.5 by Josep A. Sanchez-Espigares, 4 months ago

Browse source code at

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