NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

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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.

Author
Valerie Monbet
Date of publication
2016-04-24 16:51:55
Maintainer
Valerie Monbet <valerie.monbet@gmail.com>
License
GPL
Version
1.4

View on CRAN

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