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MSwM: 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) <doi:10.2139/ssrn.1714016>).
Getting started
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Package details |
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| Author | Josep A. Sanchez-Espigares, Alberto Lopez-Moreno |
| Maintainer | Josep A. Sanchez-Espigares <josep.a.sanchez@upc.edu> |
| License | GPL (>= 2.0) |
| Version | 1.5 |
| Package repository | View on CRAN |
| Installation |
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