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MSwM

Fitting Markov Switching Models

Installation

About

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).

Key Metrics

Version 1.5
Published 2021-06-06 1027 days ago
Needs compilation? no
License GPL-2
License GPL-3
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Maintainer

Maintainer

Josep A. Sanchez-Espigares

josep.a.sanchez@upc.edu

Authors

Josep A. Sanchez-Espigares
Alberto Lopez-Moreno

Material

Reference manual
Package source

In Views

TimeSeries

Vignettes

example

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

MSwM archive

Depends

methods
graphics
parallel

Imports

nlme

Reverse Imports

NTS

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