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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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Version

Install

install.packages('MSwM')

Monthly Downloads

2,292

Version

1.5

License

GPL (>= 2.0)

Maintainer

Josep Sanchez-Espigares

Last Published

June 6th, 2021

Functions in MSwM (1.5)

MSM.lm-class

Class "MSM.lm"
example

Example data generated
MSM.glm-class

Class "MSM.glm"
AIC-methods

Akaike Information Criterion for Markov Switching models.
MSM.fitted-class

Class "MSM.fitted"
intervals-methods

Function: Confidence Intervals on Coefficients
energy

Price of energy in Spain
MSM-internal

Internal msmFit objects and methods
MSwM-package

MSwM package
msmFit

Fitting Markov Switching Models
traffic

Traffic Deads in Spain
msmResid

Extract Markov Switching Model Residuals
plotReg

Comparative plots of response and explanatory variables with regime specifications.
plotDiag

Plot Diagnostics for an msm Object
plot-methods

Function: plot for Markov Switching Models
summary-methods

Function: Summary for Markov Switching Models
plotProb

Plot of filtered and smoothed probabilities with regimes specifications.