NHMSAR

Non-Homogeneous Markov Switching Autoregressive Models

CRAN Package

Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations. Penalization methods are implemented for Markov Switching Vector Autoregressive Models of order 1 only. Most functions of the package handle missing values.


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  • Imports4 packages