Man pages for NHMSAR
Non-Homogeneous Markov Switching Autoregressive Models

Cond.prob.MSARConditional probabilities for (non) homogeneous MSAR models
cor.MSAREmpirical correlation functions comparison .
cross.cor.MSARempirical cross-correlation for multivariate MSAR time series
emisprob.MSAR.VMEmission probabilities for von Mises MSAR
ENu_graphPlots empirical expected number of upcrossings of level u...
Estep.MSAREstep of the EM algorithm for fitting (non) homogeneous...
Estep.MSAR.VMEstep of the EM algorithm for fitting von Mises (non)...
fit.MSARFit (non) homogeneous Markov switching autoregressive models
fit.MSAR.VMFit von Mises (non) homogeneous Markov switching...
forecast.prob.MSARForecast probabilities for (non) homogeneous MSAR models
forwards_backwardsForward Backward for homogeneous MSAR models
init.theta.MSARInitialisation function for MSAR model fitting
init.theta.MSAR.VMInitialisation function for von Mises MSAR model fitting
log_dens_Von_Misesvon Mises log likelihood.
MeanDurOverMean Duration of sojourn over a treshold
MeanDurUnderMean Duration of sojourn under a treshold
meteo.dataMeteorological at Brest (France) for January month from 1973...
Mstep.classiffit an AR model for each class of C
Mstep.hh.lasso.MSARM step of the EM algorithm for fitting homogeneous...
Mstep.hh.MSARM step of the EM algorithm for fitting homogeneous Markov...
Mstep.hh.MSAR.VMM step of the EM algorithm for fitting von Mises Markov...
Mstep.hh.MSAR.with.constraintsM step of the EM algorithm for fitting homogeneous...
Mstep.hh.reduct.MSARM step of the EM algorithm for fitting homogeneous Markov...
Mstep.hh.ridge.MSARM step of the EM algorithm for fitting homogeneous...
Mstep.hh.SCAD.cw.MSARM step of the EM algorithm for fitting homogeneous...
Mstep.hh.SCAD.MSARM step of the EM algorithm for fitting homogeneous...
Mstep.hn.MSARM step of the EM algorithm for fitting Markov switching...
Mstep.nh.MSARM step of the EM algorithm.
Mstep.nh.MSAR.VMM step of the EM algorithm for von Mises MSAR models
Mstep.nn.MSARM step of the EM algorithm.
nhforwards_backwardsForward Backward for MSAR models with non homogeneous...
NH-MSAR-package(Non) Homogeneous Markov switching autoregressive model
PibDetteDemocAnnual GDP and Debt data 1970-2010
prediction.MSAROne step ahead predict for (non) homogeneous MSAR models
regimes.plot.MSARPlot MSAR time series with regimes
simule_MCSimulates Markov chain of length T
simule.nh.MSARSimulation of (non) homogeneous Markov Stiwtching...
simule.nh.MSAR.VMSimulation of (non) homogeneous Markov Stiwtching...
test.model.MSARPerforms bootstrap statistical tests to validate MSAR models.
test.model.vect.MSARPerforms bootstrap statistical tests on covariance to...
valid_all.MSARStatistics plotting for validation of MSAR models
WindWinter wind data at 18 locations offshore of France
WindDirJanuary wind direction at Ouessant
NHMSAR documentation built on Aug. 31, 2017, 9:04 a.m.