NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models
Version 1.11

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.

Getting started

Package details

AuthorValerie Monbet
Date of publication2018-08-06 07:50:03 UTC
MaintainerValerie Monbet <[email protected]>
Package repositoryView on CRAN
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NHMSAR documentation built on Aug. 7, 2018, 9:04 a.m.