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

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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)

Author
Marcelo Perlin / ICMA - Reading/Uk
Date of publication
2014-04-22 13:34:21
Maintainer
Marcelo Perlin <marceloperlin@gmail.com>
License
GPL (>=2)
Version
1.0

View on R-Forge

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

Files in this package

fMarkovSwitching/About_the_MS_Regression_Models_R.pdf
fMarkovSwitching/AdvScripts
fMarkovSwitching/AdvScripts/Example_MS_Regress_Fit.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Fit_For.R
fMarkovSwitching/AdvScripts/Example_MS_Regress_Fit_dist_t.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_2_States.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_2_States_dist_t.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_3_States.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_Fit_2_States.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_Fit_2_States_dist_t.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_Fit_3_States.r
fMarkovSwitching/AdvScripts/Example_MS_Regress_Simul_Fit_4_States.R
fMarkovSwitching/DESCRIPTION
fMarkovSwitching/NAMESPACE
fMarkovSwitching/R
fMarkovSwitching/R/MS_Class_Fit.r
fMarkovSwitching/R/MS_Class_Simul.r
fMarkovSwitching/R/MS_Regress_Fit.r
fMarkovSwitching/R/MS_Regress_For.r
fMarkovSwitching/R/MS_Regress_Lik.r
fMarkovSwitching/R/MS_Regress_Simul.r
fMarkovSwitching/data
fMarkovSwitching/data/dep.rda
fMarkovSwitching/data/indep.rda
fMarkovSwitching/man
fMarkovSwitching/man/MS_Model-class.Rd
fMarkovSwitching/man/MS_Regress_Fit.Rd
fMarkovSwitching/man/MS_Regress_For.Rd
fMarkovSwitching/man/MS_Regress_Lik.Rd
fMarkovSwitching/man/MS_Regress_Simul.Rd
fMarkovSwitching/man/MS_Simul-class.Rd
fMarkovSwitching/man/dep.Rd
fMarkovSwitching/man/dim.MS_Model.Rd
fMarkovSwitching/man/fMarkovSwitching-package.Rd
fMarkovSwitching/man/indep.Rd
fMarkovSwitching/man/plot.MS_Model.Rd
fMarkovSwitching/man/plot.MS_Simul.Rd
fMarkovSwitching/man/print.MS_Model.Rd
fMarkovSwitching/man/print.MS_Simul.Rd