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>).

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Package details

AuthorJosep A. Sanchez-Espigares, Alberto Lopez-Moreno
MaintainerJosep A. Sanchez-Espigares <>
LicenseGPL (>= 2.0)
Package repositoryView on CRAN
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MSwM documentation built on June 6, 2021, 5:06 p.m.