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NHMSAR (version 1.0)

Non-Homogeneous Markov Switching Autoregressive Models: Fitting, Simulating, Validating.

Description

Calibration, simulation, validation of (non-)homogeneous Markov switching autoregressive models with Gaussian or von Mises innovations.

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Version

Install

install.packages('NHMSAR')

Monthly Downloads

26

Version

1.0

License

GPL

Maintainer

Valerie Monbet

Last Published

November 23rd, 2014

Functions in NHMSAR (1.0)

Mstep.nn.MSAR

M step of the EM algorithm.
WindDir

January wind direction at Ouessant
Cond.prob.MSAR

Conditional probabilities for (non) homogeneous MSAR models
Wind

Winter wind data at 18 locations offshore of France
Mstep.classif

fit an AR model for each class of C
Mstep.hh.MSAR.VM

M step of the EM algorithm for fitting von Mises Markov switching auto-regressive models.
Mstep.hh.MSAR.with.constraints

M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with constraints on VAR models.
log_dens_Von_Mises

von Mises log likelihood.
regimes.plot.MSAR

Plot MSAR times series with regimes
valid_all

Statistics plotting for validation of MSAR models
fit.MSAR.VM

Fit von Mises (non) homogeneous Markov switching autoregressive models
prediction.MSAR

One step ahead predict for (non) homogeneous MSAR models
Estep.MSAR

Estep of the EM algorithm for fitting (non) homogeneous Markov switching auto-regressive models.
forecast.prob.MSAR

Forecast probabilities for (non) homogeneous MSAR models
PibDetteDemoc

Annual GDP and Debt data 1970-2010
meteo.data

Meteorological at Brest (France) for January month from 1973 to 2013
MeanDurOver

Mean Duration of sojourn over a treshold
nhforwards_backwards

Forward Backward for MSAR models with non homogeneous transitions
Mstep.nh.MSAR.VM

M step of the EM algorithm for von Mises MSAR models
cross.cor.MSAR

empirical cross-correlation for multivariate MSAR time series
ENu_graph

Plots empirical expected number of upcrossings of level u with respect to P(Y
Mstep.nh.MSAR

M step of the EM algorithm.
init.theta.MSAR (NH-MSAR)

Initialisation function for MSAR model fitting
NH-MSAR-package

(Non) Homogeneous Markov switching autoregressive model
simule.nh.MSAR

Simulation of (non) homogeneous Markov Stiwtching autoregressive models
cor.MSAR

Empirical correlation functions comparison .
MeanDurUnder

Mean Duration of sojourn under a treshold
forwards_backwards

Forward Backward for homogeneous MSAR models
Mstep.hn.MSAR

M step of the EM algorithm for fitting Markov switching auto-regressive models with non homogeneous emissions.
Mstep.hh.MSAR

M step of the EM algorithm for fitting homogeneous Markov switching auto-regressive models.
init.theta.MSAR.VM

Initialisation function for von Mises MSAR model fitting
simule.nh.MSAR.VM

Simulation of (non) homogeneous Markov Stiwtching autoregressive models von Mises innovations
Estep.MSAR.VM

Estep of the EM algorithm for fitting von Mises (non) homogeneous Markov switching auto-regressive models.
simule_MC

Simulates Markov chain of length T
fit.MSAR (NH-MSAR)

Fit (non) homogeneous Markov switching autoregressive models
emisprob.MSAR.VM

Emission probabilities for von Mises MSAR