NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models
Version 1.6

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 publication2017-08-31 08:10:57 UTC
MaintainerValerie Monbet <[email protected]>
LicenseGPL
Version1.6
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("NHMSAR")

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NHMSAR documentation built on Aug. 31, 2017, 9:04 a.m.