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: 1.17
Imports: ucminf, lars, glasso, ncvreg
Published: 2020-04-07
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

Documentation:

Reference manual: NHMSAR.pdf

Downloads:

Package source: NHMSAR_1.17.tar.gz
Windows binaries: r-devel: NHMSAR_1.17.zip, r-release: NHMSAR_1.17.zip, r-oldrel: NHMSAR_1.17.zip
macOS binaries: r-release (arm64): NHMSAR_1.17.tgz, r-release (x86_64): NHMSAR_1.17.tgz, r-oldrel: NHMSAR_1.17.tgz
Old sources: NHMSAR archive

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