MSwM (version 1.5)

Fitting Markov Switching Models

Description

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) ).

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Install

install.packages('MSwM')

Monthly Downloads

2,485

Version

1.5

License

GPL (>= 2.0)

Last Published

June 6th, 2021

Functions in MSwM (1.5)