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mskf: Markov Switching Kalman Filter
Fitting a regime switching time series models using mixed Kalman and Hamilton filter.
Getting started
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Package details |
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| Author | Ellen L. Hamaker [aut], Raoul P. P. P. Grasman [aut, cre] |
| Maintainer | Raoul P. P. P. Grasman <rgrasman@uva.nl> |
| License | GPL-2 |
| Version | 1.1.3 |
| Package repository | View on R-Forge |
| Installation |
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