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

Package details

AuthorValerie Monbet
MaintainerValerie Monbet <[email protected]>
Package repositoryView on CRAN
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NHMSAR documentation built on May 1, 2019, 10:21 p.m.