NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations. Penalization methods are implemented for Markov Switching Vector Autoregressive Models of order 1 only. Most functions of the package handle missing values.

AuthorValerie Monbet
Date of publication2016-04-24 16:51:55
MaintainerValerie Monbet <valerie.monbet@gmail.com>
LicenseGPL
Version1.4

View on CRAN

Man pages

Cond.prob.MSAR: Conditional probabilities for (non) homogeneous MSAR models

cor.MSAR: Empirical correlation functions comparison .

cross.cor.MSAR: empirical cross-correlation for multivariate MSAR time series

emisprob.MSAR.VM: Emission probabilities for von Mises MSAR

ENu_graph: Plots empirical expected number of upcrossings of level u...

Estep.MSAR: Estep of the EM algorithm for fitting (non) homogeneous...

Estep.MSAR.VM: Estep of the EM algorithm for fitting von Mises (non)...

fit.MSAR: Fit (non) homogeneous Markov switching autoregressive models

fit.MSAR.VM: Fit von Mises (non) homogeneous Markov switching...

forecast.prob.MSAR: Forecast probabilities for (non) homogeneous MSAR models

forwards_backwards: Forward Backward for homogeneous MSAR models

init.theta.MSAR: Initialisation function for MSAR model fitting

init.theta.MSAR.VM: Initialisation function for von Mises MSAR model fitting

log_dens_Von_Mises: von Mises log likelihood.

MeanDurOver: Mean Duration of sojourn over a treshold

MeanDurUnder: Mean Duration of sojourn under a treshold

meteo.data: Meteorological at Brest (France) for January month from 1973...

Mstep.classif: fit an AR model for each class of C

Mstep.hh.lasso.MSAR: M step of the EM algorithm for fitting homogeneous...

Mstep.hh.MSAR: M step of the EM algorithm for fitting homogeneous Markov...

Mstep.hh.MSAR.VM: M step of the EM algorithm for fitting von Mises Markov...

Mstep.hh.MSAR.with.constraints: M step of the EM algorithm for fitting homogeneous...

Mstep.hh.reduct.MSAR: M step of the EM algorithm for fitting homogeneous Markov...

Mstep.hh.ridge.MSAR: M step of the EM algorithm for fitting homogeneous...

Mstep.hh.SCAD.cw.MSAR: M step of the EM algorithm for fitting homogeneous...

Mstep.hh.SCAD.MSAR: M step of the EM algorithm for fitting homogeneous...

Mstep.hn.MSAR: M step of the EM algorithm for fitting Markov switching...

Mstep.nh.MSAR: M step of the EM algorithm.

Mstep.nh.MSAR.VM: M step of the EM algorithm for von Mises MSAR models

Mstep.nn.MSAR: M step of the EM algorithm.

nhforwards_backwards: Forward Backward for MSAR models with non homogeneous...

NH-MSAR-package: (Non) Homogeneous Markov switching autoregressive model

PibDetteDemoc: Annual GDP and Debt data 1970-2010

prediction.MSAR: One step ahead predict for (non) homogeneous MSAR models

regimes.plot.MSAR: Plot MSAR time series with regimes

simule_MC: Simulates Markov chain of length T

simule.nh.MSAR: Simulation of (non) homogeneous Markov Stiwtching...

simule.nh.MSAR.VM: Simulation of (non) homogeneous Markov Stiwtching...

test.model.MSAR: Performs bootstrap statistical tests to validate MSAR models.

test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to...

valid_all: Statistics plotting for validation of MSAR models

Wind: Winter wind data at 18 locations offshore of France

WindDir: January wind direction at Ouessant

Functions

Cond.prob.MSAR Man page
cor.MSAR Man page
cross.cor.MSAR Man page
emisprob.MSAR.VM Man page
ENu_graph Man page
Estep.MSAR Man page
Estep.MSAR.VM Man page
fit.MSAR Man page
fit.MSAR.VM Man page
forecast.prob.MSAR Man page
forwards_backwards Man page
init.theta.MSAR Man page
init.theta.MSAR.VM Man page
log_dens_Von_Mises Man page
MeanDurOver Man page
MeanDurUnder Man page
meteo.data Man page
Mstep.classif Man page
Mstep.hh.lasso.MSAR Man page
Mstep.hh.MSAR Man page
Mstep.hh.MSAR.VM Man page
Mstep.hh.MSAR.with.constraints Man page
Mstep.hh.reduct.MSAR Man page
Mstep.hh.ridge.MSAR Man page
Mstep.hh.SCAD.cw.MSAR Man page
Mstep.hh.SCAD.MSAR Man page
Mstep.hn.MSAR Man page
Mstep.nh.MSAR Man page
Mstep.nh.MSAR.VM Man page
Mstep.nn.MSAR Man page
nhforwards_backwards Man page
NH-MSAR Man page
NH-MSAR-package Man page
PibDetteDemoc Man page
prediction.MSAR Man page
regimes.plot.MSAR Man page
simule_MC Man page
simule.nh.MSAR Man page
simule.nh.MSAR.VM Man page
test.model.MSAR Man page
test.model.vect.MSAR Man page
U Man page
valid_all Man page
WindDir Man page

Files

NHMSAR
NHMSAR/NAMESPACE
NHMSAR/data
NHMSAR/data/Wind.rda
NHMSAR/data/PibDetteDemoc.rda
NHMSAR/data/meteo.data.rda
NHMSAR/data/WindDir.rda
NHMSAR/data/datalist
NHMSAR/R
NHMSAR/R/print.thetaMSAR.VM.R NHMSAR/R/Mstep.classif.R NHMSAR/R/fit.MSAR.VM.R NHMSAR/R/Mstep.hh.ridge.MSAR.R NHMSAR/R/NH-MSAR-VM-internal.R NHMSAR/R/simule_MC.R NHMSAR/R/dim.thetaMSAR.R NHMSAR/R/ll_gausshn_p0.MSAR.R NHMSAR/R/repmat.R NHMSAR/R/tps_sejour_sup.R NHMSAR/R/Mstep.hn.MSAR.R NHMSAR/R/simule.nh.MSAR.VM.R NHMSAR/R/para_trans_inv.R NHMSAR/R/print.thetaMSAR.R NHMSAR/R/ENu_graph.R NHMSAR/R/ll_gauss.MSAR.R NHMSAR/R/emis4ps.MSAR.R NHMSAR/R/deplie2.R NHMSAR/R/prediction.MSAR.R NHMSAR/R/Mstep.hh.reduct.MSAR.R NHMSAR/R/deplie.c.VM.R NHMSAR/R/Mstep.nh.MSAR.VM.R NHMSAR/R/as.thetaMSAR.R NHMSAR/R/plie.VM.R NHMSAR/R/cross.cor.MSAR.R NHMSAR/R/plie2.R NHMSAR/R/ll_gausshn.MSAR.R NHMSAR/R/plie2.VM.R
NHMSAR/R/cond.prob.msar.r
NHMSAR/R/EM_converged.R NHMSAR/R/Mstep.hh.lasso.MSAR.R NHMSAR/R/ll_vonMises.MSAR.R NHMSAR/R/deplie2.VM.R NHMSAR/R/Mstep.hh.MSAR.R NHMSAR/R/NH-MSAR-internal.R NHMSAR/R/para_trans.R NHMSAR/R/test.model.vect.MSAR.R NHMSAR/R/sample.VM.R NHMSAR/R/forwards_backwards.R NHMSAR/R/valid_all.R NHMSAR/R/mk_stochastic.R NHMSAR/R/MeanDurUnder.R NHMSAR/R/as.thetaMSAR.VM.R NHMSAR/R/regimes.plot.MSAR.R NHMSAR/R/deplie.VM.R NHMSAR/R/Mstep.nh.MSAR.R NHMSAR/R/test.model.MSAR.R NHMSAR/R/loglik_nh_inp.R NHMSAR/R/Mstep.hh.MSAR.VM.R NHMSAR/R/ll_vonMises.c.MSAR.R NHMSAR/R/init.theta.MSAR.miss.R NHMSAR/R/nhforwards_backwards.R NHMSAR/R/Mstep.nh.ARfix.MSAR.R NHMSAR/R/is.thetaMSAR.R NHMSAR/R/pdf.norm.R NHMSAR/R/log_dens_Von_Mises.R NHMSAR/R/init.theta.MSAR.VM.R NHMSAR/R/Mstep.hh.SCAD.MSAR.R NHMSAR/R/simule.nh.MSAR.R NHMSAR/R/Mstep.hh.SCAD.cw.MSAR.R NHMSAR/R/tps_sejour.R NHMSAR/R/Estep.MSAR.VM.R NHMSAR/R/emisprob.MSAR.VM.R NHMSAR/R/Mstep.nn.MSAR.R NHMSAR/R/MeanDurOver.R NHMSAR/R/plie.c.VM.R NHMSAR/R/Estep.MSAR.R NHMSAR/R/normalise.R NHMSAR/R/cor.MSAR.R NHMSAR/R/reg_scad.R NHMSAR/R/fit.MSAR.R NHMSAR/R/loglik_nh_inp.VM.R NHMSAR/R/forecast.prob.MSAR.R NHMSAR/R/emisprob.MSAR.R NHMSAR/R/init.theta.MSAR.R NHMSAR/R/Mstep.hh.MSAR.with.constraints.R
NHMSAR/MD5
NHMSAR/DESCRIPTION
NHMSAR/man
NHMSAR/man/Mstep.hh.MSAR.Rd NHMSAR/man/simule.nh.MSAR.Rd NHMSAR/man/Mstep.hn.MSAR.Rd NHMSAR/man/Mstep.classif.Rd NHMSAR/man/prediction.MSAR.Rd NHMSAR/man/Mstep.nh.MSAR.VM.Rd NHMSAR/man/Estep.MSAR.Rd NHMSAR/man/log_dens_Von_Mises.Rd NHMSAR/man/init.theta.MSAR.Rd NHMSAR/man/meteo.data.Rd NHMSAR/man/Mstep.hh.MSAR.with.constraints.Rd NHMSAR/man/Mstep.nn.MSAR.Rd NHMSAR/man/test.model.MSAR.Rd NHMSAR/man/valid_all.Rd NHMSAR/man/fit.MSAR.VM.Rd NHMSAR/man/forecast.prob.MSAR.Rd NHMSAR/man/nhforwards_backwards.Rd NHMSAR/man/init.theta.MSAR.VM.Rd NHMSAR/man/MeanDurUnder.Rd NHMSAR/man/Estep.MSAR.VM.Rd NHMSAR/man/Mstep.hh.SCAD.MSAR.Rd NHMSAR/man/fit.MSAR.Rd NHMSAR/man/ENu_graph.Rd NHMSAR/man/forwards_backwards.Rd NHMSAR/man/simule_MC.Rd NHMSAR/man/test.model.vect.MSAR.Rd NHMSAR/man/WindDir.Rd NHMSAR/man/Cond.prob.MSAR.Rd NHMSAR/man/PibDetteDemoc.Rd NHMSAR/man/Mstep.hh.MSAR.VM.Rd NHMSAR/man/emisprob.MSAR.VM.Rd NHMSAR/man/MeanDurOver.Rd NHMSAR/man/Mstep.nh.MSAR.Rd NHMSAR/man/Wind.Rd NHMSAR/man/NH-MSAR-package.Rd NHMSAR/man/Mstep.hh.ridge.MSAR.Rd NHMSAR/man/simule.nh.MSAR.VM.Rd NHMSAR/man/regimes.plot.MSAR.Rd NHMSAR/man/Mstep.hh.lasso.MSAR.Rd NHMSAR/man/Mstep.hh.reduct.MSAR.Rd NHMSAR/man/Mstep.hh.SCAD.cw.MSAR.Rd NHMSAR/man/cor.MSAR.Rd NHMSAR/man/cross.cor.MSAR.Rd

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