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:	1.19
Imports:	ucminf, lars, glasso, ncvreg
Published:	2022-02-09
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

Documentation:

Reference manual:

NHMSAR.pdf

Downloads:

Package source:	NHMSAR_1.19.tar.gz
Windows binaries:	r-devel: NHMSAR_1.19.zip, r-release: NHMSAR_1.19.zip, r-oldrel: NHMSAR_1.19.zip
macOS binaries:	r-release (arm64): NHMSAR_1.19.tgz, r-oldrel (arm64): NHMSAR_1.19.tgz, r-release (x86_64): NHMSAR_1.19.tgz, r-oldrel (x86_64): NHMSAR_1.19.tgz
Old sources:	NHMSAR archive

Linking:

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