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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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Install
install.packages('NHMSAR')
Monthly Downloads
294
Version
1.0
License
GPL
Maintainer
Valerie Monbet
Last Published
November 23rd, 2014
Functions in NHMSAR (1.0)
Search functions
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