MSwM: Fitting Markov Switching Models

Estimation, inference and diagnostics for Univariate Autoregressive Markov Switching Models for Linear and Generalized Models. Distributions for the series include gaussian, Poisson, binomial and gamma cases. The EM algorithm is used for estimation (see Perlin (2012) <doi:10.2139/ssrn.1714016>).

Version:	1.5
Depends:	methods, graphics, parallel
Imports:	nlme
Published:	2021-06-06
DOI:	10.32614/CRAN.package.MSwM
Author:	Josep A. Sanchez-Espigares, Alberto Lopez-Moreno
Maintainer:	Josep A. Sanchez-Espigares <josep.a.sanchez at upc.edu>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2.0)]
NeedsCompilation:	no
In views:	TimeSeries
CRAN checks:	MSwM results

Documentation:

Reference manual:	MSwM.pdf
Vignettes:	example

Downloads:

Package source:	MSwM_1.5.tar.gz
Windows binaries:	r-devel: MSwM_1.5.zip, r-release: MSwM_1.5.zip, r-oldrel: MSwM_1.5.zip
macOS binaries:	r-release (arm64): MSwM_1.5.tgz, r-oldrel (arm64): MSwM_1.5.tgz, r-release (x86_64): MSwM_1.5.tgz, r-oldrel (x86_64): MSwM_1.5.tgz
Old sources:	MSwM archive

Reverse dependencies:

Reverse imports:	NTS
Reverse suggests:	ggfortify, hmmTMB, LaMa, tidyfit

Linking:

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