NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models
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.
| Version: |
1.1 |
| Depends: |
R (≥ 2.10) |
| Imports: |
ucminf, lars, SIS, caTools, glasso |
| Published: |
2015-06-09 |
| Author: |
Valerie Monbet |
| Maintainer: |
Valerie Monbet <valerie.monbet at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: |
no |
| CRAN checks: |
NHMSAR results |
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