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Estimation, inference and diagnostics for Univariate Autoregressive Markov Switching Models for Linear and Generalized Models. Distributions for the series include gaussian, Poisson, binomial and gamma cases. The EM algorithm is used for estimation (see Perlin (2012) <doi:10.2139/ssrn.1714016>).
| Version: | 1.5 |
| Depends: | methods, graphics, parallel |
| Imports: | nlme |
| Published: | 2021-06-06 |
| DOI: | 10.32614/CRAN.package.MSwM |
| Author: | Josep A. Sanchez-Espigares, Alberto Lopez-Moreno |
| Maintainer: | Josep A. Sanchez-Espigares <josep.a.sanchez at upc.edu> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2.0)] |
| NeedsCompilation: | no |
| In views: | TimeSeries |
| CRAN checks: | MSwM results |
| Reference manual: | MSwM.pdf |
| Vignettes: |
example |
| Package source: | MSwM_1.5.tar.gz |
| Windows binaries: | r-devel: MSwM_1.5.zip, r-release: MSwM_1.5.zip, r-oldrel: MSwM_1.5.zip |
| macOS binaries: | r-release (arm64): MSwM_1.5.tgz, r-oldrel (arm64): MSwM_1.5.tgz, r-release (x86_64): MSwM_1.5.tgz, r-oldrel (x86_64): MSwM_1.5.tgz |
| Old sources: | MSwM archive |
| Reverse imports: | NTS |
| Reverse suggests: | ggfortify, hmmTMB, LaMa, tidyfit |
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