simule_MC

transmat

prior

Simulates Markov chain of length T, given a transition matrix and a prior distribution.

 simulation

 Markov chain 

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.

Valerie Monbet

NHMSAR

Non-Homogeneous Markov Switching Autoregressive Models

simule_MC function


 — simule_MC

simule_MC:

Description

Usage

Arguments

Value

See Also