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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.
Getting started
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Package details |
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| Author | Valerie Monbet |
| Maintainer | Valerie Monbet <valerie.monbet@gmail.com> |
| License | GPL |
| Version | 1.19 |
| Package repository | View on CRAN |
| Installation |
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