NHMSAR
Non-Homogeneous Markov Switching Autoregressive Models
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.
- Version1.19
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release02/09/2022
Team
Valerie Monbet
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- Imports4 packages