mskf: Markov Switching Kalman Filter
Version 1.1.3

Fitting a regime switching time series models using mixed Kalman and Hamilton filter.

Package details

AuthorEllen L. Hamaker [aut], Raoul P. P. P. Grasman [aut, cre]
Date of publication2015-09-04 09:16:10
MaintainerRaoul P. P. P. Grasman <[email protected]>
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("mskf", repos="")

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mskf documentation built on May 31, 2017, 4:56 a.m.