Description Details Author(s) References Examples
NH-MSAR-package is a set of functions to fit, simulate and validate (non) homogeneous Markov Switching Autoregressive models with Gaussian or von Mises innovations.
Package: | NH-MSAR |
Type: | Package |
Version: | 1.0 |
Date: | 2014-08-11 |
License: | What license is it under? |
~~ An overview of how to use the package, including the most important ~~ ~~ functions ~~
Val\'e'rie Monbet, valerie.monbet@univ-rennes1.fr
Hamilton J.D. (1989). A New Approach to the Economic Analysis of Nonstionary Time Series and the Business Cycle. Econometrica 57: 357-384. Ailliot P., Monbet V., (2012), Markov-switching autoregressive models for wind time series. Environmental Modelling & Software, 30, pp 92-101. Ailliot P., Bessac J., Monbet V., Pene F., (2014) Non-homogeneous hidden Markov-switching models for wind time series. JSPI.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 | # Fit Homogeneous MS-AR models - univariate time series
data(meteo.data)
data = array(meteo.data$temperature,c(31,41,1))
k = 40
T = dim(data)[1]
N.samples = dim(data)[2]
d = dim(data)[3]
M = 2
order = 2
theta.init = init.theta.MSAR(data,M=M,order=order,label="HH")
mod.hh = fit.MSAR(data,theta.init,verbose=TRUE,MaxIter=20)
regimes.plot.MSAR(mod.hh,data,ylab="temperatures")
#Y0 = array(data[1:2,sample(1:dim(data)[2],1),],c(2,1,1))
#Y.sim = simule.nh.MSAR(mod.hh$theta,Y0 = Y0,T,N.samples = 1)
## Not run
# Fit Non Homogeneous MS-AR models - univariate time series
#data(lynx)
#T = length(lynx)
#data = array(log10(lynx),c(T,1,1))
#theta.init = init.theta.MSAR(data,M=2,order=2,label="HH")
#mod.lynx.hh = fit.MSAR(data,theta.init,verbose=TRUE,MaxIter=200)
#regimes.plot.MSAR(mod.lynx.hh,data,ylab="Captures number")
## End (not run)
|
[1] iteration 1 loglik = -2483.76821398985
[1] iteration 2 loglik = -2481.46191316325
[1] iteration 3 loglik = -2480.50800481965
[1] iteration 4 loglik = -2478.91074475992
[1] iteration 5 loglik = -2476.9747310187
[1] iteration 6 loglik = -2475.1342318885
[1] iteration 7 loglik = -2473.64252294242
[1] iteration 8 loglik = -2472.53158618905
[1] iteration 9 loglik = -2471.70564169704
[1] iteration 10 loglik = -2471.04140078367
[1] iteration 11 loglik = -2470.43217996723
[1] iteration 12 loglik = -2469.7793783761
[1] iteration 13 loglik = -2468.94324364113
[1] iteration 14 loglik = -2467.65737278721
[1] iteration 15 loglik = -2465.61710058432
[1] iteration 16 loglik = -2463.09808638148
[1] iteration 17 loglik = -2460.73052088291
[1] iteration 18 loglik = -2458.75581275823
[1] iteration 19 loglik = -2457.1641152218
[1] iteration 20 loglik = -2455.85659893545
[1] NA NA 2 2 2 2 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2
[26] 2 1 1 1 1 1 1 1
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.