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NHMSAR (version 1.19)

Non-Homogeneous Markov Switching Autoregressive Models

Description

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.

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Version

Install

install.packages('NHMSAR')

Monthly Downloads

26

Version

1.19

License

GPL

Maintainer

Valerie Monbet

Last Published

February 9th, 2022

Functions in NHMSAR (1.19)

MeanDurUnder

Mean Duration of sojourn under a treshold
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.
Estep.MSAR

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

M step of the EM algorithm for fitting homogeneous Markov switching auto-regressive models.
ENu_graph

Plots empirical expected number of upcrossings of level u with respect to P(Y<u)
Cond.prob.MSAR

Conditional probabilities for (non) homogeneous MSAR models
Mstep.classif

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

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

Mean Duration of sojourn over a treshold
Mstep.hh.MSAR.VM

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

M step of the EM algorithm.
Mstep.hh.ridge.MSAR

M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hn.MSAR

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

M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hh.reduct.MSAR

M step of the EM algorithm for fitting homogeneous Markov switching auto-regressive models with constraints on the matrices.
Mstep.hh.SCAD.MSAR

M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hh.SCAD.cw.MSAR

M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with SCAD penalization of parameters of the VAR(1) models.
cross.cor.MSAR

empirical cross-correlation for multivariate MSAR time series
Wind

Winter wind data at 18 locations offshore of France
PibDetteDemoc

Annual GDP and Debt data 1970-2010
WindDir

January wind direction at Ouessant
NH-MSAR-package

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

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

Empirical correlation functions comparison .
Mstep.nh.MSAR

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

Initialisation function for MSAR model fitting
fit.MSAR (NH-MSAR)

Fit (non) homogeneous Markov switching autoregressive models
simule.nh.MSAR

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

Emission probabilities for von Mises MSAR
regimes.plot.MSAR

Plot MSAR time series with regimes
init.theta.MSAR.VM

Initialisation function for von Mises MSAR model fitting
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
prediction.MSAR

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

Statistics plotting for validation of MSAR models
viterbi_path

Viterbi path homogeneous MSAR models
simule_MC

Simulates Markov chain of length T
test.model.MSAR

Performs bootstrap statistical tests to validate MSAR models.
fit.MSAR.VM

Fit von Mises (non) homogeneous Markov switching autoregressive models
test.model.vect.MSAR

Performs bootstrap statistical tests on covariance to validate MSVAR models.
forwards_backwards

Forward Backward for homogeneous MSAR models
meteo.data

Meteorological at Brest (France) for January month from 1973 to 2013
forecast.prob.MSAR

Forecast probabilities for (non) homogeneous MSAR models
log_dens_Von_Mises

von Mises log likelihood.