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. Most functions of the package handle missing values.

Version: 1.12
Imports: ucminf, lars, glasso, ncvreg
Published: 2018-09-23
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_1.12.tar.gz
Windows binaries: r-devel: NHMSAR_1.12.zip, r-release: NHMSAR_1.12.zip, r-oldrel: NHMSAR_1.12.zip
OS X binaries: r-release: NHMSAR_1.12.tgz, r-oldrel: NHMSAR_1.12.tgz
Old sources: NHMSAR archive


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