NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models
Version 1.5

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.

Browse man pages Browse package API and functions Browse package files

AuthorValerie Monbet
Date of publication2017-05-25 17:01:21 UTC
MaintainerValerie Monbet <valerie.monbet@gmail.com>
LicenseGPL
Version1.5
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("NHMSAR")

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.MSAR: 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 Source code
EM_converged Source code
ENu_graph Man page Source code
Estep.MSAR Man page Source code
Estep.MSAR.VM Man page Source code
MeanDurOver Man page Source code
MeanDurUnder Man page Source code
Mstep.classif Man page Source code
Mstep.hh.MSAR Man page Source code
Mstep.hh.MSAR.VM Man page Source code
Mstep.hh.MSAR.with.constraints Man page Source code
Mstep.hh.SCAD.MSAR Man page Source code
Mstep.hh.SCAD.cw.MSAR Man page Source code
Mstep.hh.lasso.MSAR Man page Source code
Mstep.hh.reduct.MSAR Man page Source code
Mstep.hh.ridge.MSAR Man page Source code
Mstep.hn.MSAR Man page Source code
Mstep.nh.ARfix.MSAR Source code
Mstep.nh.MSAR Man page Source code
Mstep.nh.MSAR.VM Man page Source code
Mstep.nn.MSAR Man page Source code
NH-MSAR Man page
NH-MSAR-package Man page
PibDetteDemoc Man page
U Man page
WindDir Man page
as.thetaMSAR Source code
as.thetaMSAR.VM Source code
cor.MSAR Man page Source code
cross.cor.MSAR Man page Source code Source code
deplie.VM Source code
deplie.c.VM Source code
deplie2 Source code
deplie2.VM Source code
der.scad Source code
dim.thetaMSAR Source code
emis4ps.MSAR Source code
emisprob.MSAR Source code
emisprob.MSAR.VM Man page Source code
fit.MSAR Man page Source code
fit.MSAR.VM Man page Source code
forecast.prob.MSAR Man page Source code
forwards_backwards Man page Source code
fscad Source code
grad.ll.pen2 Source code
grad.ll_reg Source code
hess.ll_reg Source code
init.theta.MSAR Man page Source code Source code
init.theta.MSAR.VM Man page Source code
is.thetaMSAR Source code
ll.pen2 Source code
ll_gauss.MSAR Source code
ll_gausshn.MSAR Source code
ll_gausshn_p0.MSAR Source code
ll_reg Source code
ll_vonMises.MSAR Source code
ll_vonMises.c.MSAR Source code
log_dens_Von_Mises Man page Source code
loglik_nh_inp Source code
loglik_nh_inp.VM Source code
meteo.data Man page
mk_stochastic Source code
nhforwards_backwards Man page Source code
normalise Source code
para_trans Source code
para_trans_inv Source code
pdf.norm Source code
plie.VM Source code
plie.c.VM Source code
plie2 Source code
plie2.VM Source code
prediction.MSAR Man page Source code
print.thetaMSAR Source code
print.thetaMSAR.VM Source code
reg_scad Source code
regimes.plot.MSAR Man page Source code
repmat Source code
sample.VM Source code
simule.nh.MSAR Man page Source code
simule.nh.MSAR.VM Man page Source code
simule_MC Man page Source code
soft_tresh Source code
test.model.MSAR Man page Source code
test.model.vect.MSAR Man page Source code
tps_sejour Source code Source code
tps_sejour_sup Source code
valid_all.MSAR Man page Source code

Files

NAMESPACE
data
data/Wind.rda
data/PibDetteDemoc.rda
data/meteo.data.rda
data/WindDir.rda
data/datalist
R
R/print.thetaMSAR.VM.R
R/Mstep.classif.R
R/fit.MSAR.VM.R
R/Mstep.hh.ridge.MSAR.R
R/NH-MSAR-VM-internal.R
R/simule_MC.R
R/dim.thetaMSAR.R
R/ll_gausshn_p0.MSAR.R
R/repmat.R
R/tps_sejour_sup.R
R/Mstep.hn.MSAR.R
R/simule.nh.MSAR.VM.R
R/para_trans_inv.R
R/print.thetaMSAR.R
R/ENu_graph.R
R/ll_gauss.MSAR.R
R/emis4ps.MSAR.R
R/deplie2.R
R/prediction.MSAR.R
R/Mstep.hh.reduct.MSAR.R
R/deplie.c.VM.R
R/Mstep.nh.MSAR.VM.R
R/as.thetaMSAR.R
R/plie.VM.R
R/cross.cor.MSAR.R
R/plie2.R
R/ll_gausshn.MSAR.R
R/plie2.VM.R
R/cond.prob.msar.r
R/EM_converged.R
R/Mstep.hh.lasso.MSAR.R
R/ll_vonMises.MSAR.R
R/cross.cor1.MSAR.R
R/deplie2.VM.R
R/Mstep.hh.MSAR.R
R/NH-MSAR-internal.R
R/para_trans.R
R/test.model.vect.MSAR.R
R/sample.VM.R
R/forwards_backwards.R
R/mk_stochastic.R
R/MeanDurUnder.R
R/valid_all.MSAR.R
R/as.thetaMSAR.VM.R
R/regimes.plot.MSAR.R
R/deplie.VM.R
R/Mstep.nh.MSAR.R
R/test.model.MSAR.R
R/loglik_nh_inp.R
R/Mstep.hh.MSAR.VM.R
R/ll_vonMises.c.MSAR.R
R/init.theta.MSAR.miss.R
R/nhforwards_backwards.R
R/Mstep.nh.ARfix.MSAR.R
R/is.thetaMSAR.R
R/pdf.norm.R
R/log_dens_Von_Mises.R
R/init.theta.MSAR.VM.R
R/Mstep.hh.SCAD.MSAR.R
R/simule.nh.MSAR.R
R/Mstep.hh.SCAD.cw.MSAR.R
R/tps_sejour.R
R/Estep.MSAR.VM.R
R/emisprob.MSAR.VM.R
R/Mstep.nn.MSAR.R
R/MeanDurOver.R
R/plie.c.VM.R
R/Estep.MSAR.R
R/normalise.R
R/cor.MSAR.R
R/reg_scad.R
R/fit.MSAR.R
R/loglik_nh_inp.VM.R
R/forecast.prob.MSAR.R
R/emisprob.MSAR.R
R/init.theta.MSAR.R
R/Mstep.hh.MSAR.with.constraints.R
MD5
DESCRIPTION
man
man/Mstep.hh.MSAR.Rd
man/simule.nh.MSAR.Rd
man/Mstep.hn.MSAR.Rd
man/Mstep.classif.Rd
man/prediction.MSAR.Rd
man/valid_all.MSAR.Rd
man/Mstep.nh.MSAR.VM.Rd
man/Estep.MSAR.Rd
man/log_dens_Von_Mises.Rd
man/init.theta.MSAR.Rd
man/meteo.data.Rd
man/Mstep.hh.MSAR.with.constraints.Rd
man/Mstep.nn.MSAR.Rd
man/test.model.MSAR.Rd
man/fit.MSAR.VM.Rd
man/forecast.prob.MSAR.Rd
man/nhforwards_backwards.Rd
man/init.theta.MSAR.VM.Rd
man/MeanDurUnder.Rd
man/Estep.MSAR.VM.Rd
man/Mstep.hh.SCAD.MSAR.Rd
man/fit.MSAR.Rd
man/ENu_graph.Rd
man/forwards_backwards.Rd
man/simule_MC.Rd
man/test.model.vect.MSAR.Rd
man/WindDir.Rd
man/Cond.prob.MSAR.Rd
man/PibDetteDemoc.Rd
man/Mstep.hh.MSAR.VM.Rd
man/emisprob.MSAR.VM.Rd
man/MeanDurOver.Rd
man/Mstep.nh.MSAR.Rd
man/Wind.Rd
man/NH-MSAR-package.Rd
man/Mstep.hh.ridge.MSAR.Rd
man/simule.nh.MSAR.VM.Rd
man/regimes.plot.MSAR.Rd
man/Mstep.hh.lasso.MSAR.Rd
man/Mstep.hh.reduct.MSAR.Rd
man/Mstep.hh.SCAD.cw.MSAR.Rd
man/cor.MSAR.Rd
man/cross.cor.MSAR.Rd
NHMSAR documentation built on May 29, 2017, 10:44 a.m.