Non-Homogeneous Markov Switching Autoregressive Models

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.MSAR | Statistics plotting for validation of MSAR models |

Wind | Winter wind data at 18 locations offshore of France |

WindDir | January wind direction at Ouessant |

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