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


Reference manual: NHMSAR.pdf
Package source: NHMSAR_1.1.tar.gz
Windows binaries: r-devel: NHMSAR_1.1.zip, r-release: NHMSAR_1.1.zip, r-oldrel: NHMSAR_1.1.zip
OS X Snow Leopard binaries: r-release: NHMSAR_1.1.tgz, r-oldrel: not available
OS X Mavericks binaries: r-release: NHMSAR_1.1.tgz
Old sources: NHMSAR archive