fMarkovSwitching: R Package for Estimation, Simulation and Forecasting of a Univariate Markov Switching Model
Version 1.0

This package provides functions for estimation, simulation and forecasting of a general markov switching regression. The code is flexible enought to handle any number of independents variables, any number of states and any setup for the model iself (see example files)

AuthorMarcelo Perlin / ICMA - Reading/Uk
Date of publication2014-04-22 13:34:21
MaintainerMarcelo Perlin <marceloperlin@gmail.com>
LicenseGPL (>=2)
Version1.0
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("fMarkovSwitching", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

dep: Example of dependent/explained Variable for Markov switching...
fMarkovSwitching-package: Package for Estimation, Simulation and Forecasting of a...
indep: Example of independent/explanatory Variable for Markov...
MS_Regress_Fit: Function to Estimate a Markov Switching Regression
MS_Regress_For: Function to Forecast a Markov Switching Model in t+1
MS_Regress_Lik: The likelihood function for a General Markov Switching Model
plot.MS_Model: Function to Plot the Fitted Processes of a Markov Switching...
See all...

All man pages Function index File listing

Man pages

dep: Example of dependent/explained Variable for Markov switching...
dim.MS_Model: Function to Get the dimension/Size of Markov Switching...
fMarkovSwitching-package: Package for Estimation, Simulation and Forecasting of a...
indep: Example of independent/explanatory Variable for Markov...
MS_Model-class: Definitions for Class "MS_Model"
MS_Regress_Fit: Function to Estimate a Markov Switching Regression
MS_Regress_For: Function to Forecast a Markov Switching Model in t+1
MS_Regress_Lik: The likelihood function for a General Markov Switching Model
MS_Regress_Simul: Function to Simulate a Time Series based on Markov Switching...
MS_Simul-class: A Class for the Simulation of a Markov Switching Time Series...
plot.MS_Model: Function to Plot the Fitted Processes of a Markov Switching...
plot.MS_Simul: Function to Plot a Simulated Markov Switching Process
print.MS_Model: Function to Print (output to screen) a Markov Switching Model
print.MS_Simul: Function to Print a Markov Switching Simulation Object

Functions

MS_Model-class Man page
MS_Regress_Fit Man page Source code
MS_Regress_For Man page Source code
MS_Regress_Lik Man page Source code
MS_Regress_Simul Man page Source code
MS_Simul-class Man page
dep Man page
dim.MS_Model Man page Source code
fMarkovSwitching Man page
fMarkovSwitching-package Man page
indep Man page
plot.MS_Model Man page Source code
plot.MS_Simul Man page Source code
print.MS_Model Man page Source code
print.MS_Simul Man page Source code

Files

About_the_MS_Regression_Models_R.pdf
AdvScripts
AdvScripts/Example_MS_Regress_Fit.r
AdvScripts/Example_MS_Regress_Fit_For.R
AdvScripts/Example_MS_Regress_Fit_dist_t.r
AdvScripts/Example_MS_Regress_Simul_2_States.r
AdvScripts/Example_MS_Regress_Simul_2_States_dist_t.r
AdvScripts/Example_MS_Regress_Simul_3_States.r
AdvScripts/Example_MS_Regress_Simul_Fit_2_States.r
AdvScripts/Example_MS_Regress_Simul_Fit_2_States_dist_t.r
AdvScripts/Example_MS_Regress_Simul_Fit_3_States.r
AdvScripts/Example_MS_Regress_Simul_Fit_4_States.R
DESCRIPTION
NAMESPACE
R
R/MS_Class_Fit.r
R/MS_Class_Simul.r
R/MS_Regress_Fit.r
R/MS_Regress_For.r
R/MS_Regress_Lik.r
R/MS_Regress_Simul.r
data
data/dep.rda
data/indep.rda
man
man/MS_Model-class.Rd
man/MS_Regress_Fit.Rd
man/MS_Regress_For.Rd
man/MS_Regress_Lik.Rd
man/MS_Regress_Simul.Rd
man/MS_Simul-class.Rd
man/dep.Rd
man/dim.MS_Model.Rd
man/fMarkovSwitching-package.Rd
man/indep.Rd
man/plot.MS_Model.Rd
man/plot.MS_Simul.Rd
man/print.MS_Model.Rd
man/print.MS_Simul.Rd
fMarkovSwitching documentation built on May 21, 2017, 3:32 a.m.

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