mskf: Markov Switching Kalman Filter

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

AuthorEllen L. Hamaker [aut], Raoul P. P. P. Grasman [aut, cre]
Date of publication2015-09-04 09:16:10
MaintainerRaoul P. P. P. Grasman <rgrasman@uva.nl>
LicenseGPL-2
Version1.1.3

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