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

Package details

AuthorJosep A. Sanchez-Espigares, Alberto Lopez-Moreno
MaintainerJosep A. Sanchez-Espigares <josep.a.sanchez@upc.edu>
LicenseGPL (>= 2.0)
Version1.5
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("MSwM")

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MSwM documentation built on June 6, 2021, 5:06 p.m.