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

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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

Files in this package

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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