Fitting Markov Switching Models
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Maintained by Josep A. Sanchez-EspigaresCRAN page ↗
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).
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NOTERd filesr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64, r-oldrel-windows-x86_64, r-patched-linux-x86_64, r-release-linux-x86_64, r-release-macos-arm64, r-release-macos-x86_64, r-release-windows-x86_64
checkRd: (-1) msmFit.Rd:30: Lost braces
30 | -\code{trace}{: A logical value. If it is TRUE, tracing information on the progress of the optimization is produced.}
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checkRd: (-1) msmFit.Rd:32: Lost braces
32 | -\code{maxiter}{: The maximum number of iterations in the EM method. Default is 100.}
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checkRd: (-1) msmFit.Rd:34: Lost braces
34 | -\code{tol}{: Tolerance. The algorithm stops if it is unable to reduce the value by a factor of \code{tol} at a step. Default is 1e-8.}
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checkRd: (-1) msmFit.Rd:36: Lost braces
36 | -\code{maxiterOuter}{: The number of short runs of the EM method to stablish the initial values. Default is 5}
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checkRd: (-1) msmFit.Rd:38: Lost braces
38 | -\code{maxiterInner}{: The number of iterations in the EM method in each short run to stablish the initial values. Default is 10}
...[truncated]...
-\code{parallelization}{: A logical value. Whether the process is done by using parallelization or not. Default is TRUE.}
| ^
checkRd: (-1) plotDiag.Rd:33: Lost braces
33 | - \code{1}{: represents the plot of residuals against fitted values. }
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checkRd: (-1) plotDiag.Rd:35: Lost braces
35 | - \code{2}{: represents the Normal Q-Q plot. }
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checkRd: (-1) plotDiag.Rd:37: Lost braces
37 | - \code{3}{: represents the ACF/PACF of residuals and ACF/PACF of square residuals. }
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checkRd: (-1) plotProb.Rd:29: Lost braces
29 | -\code{1}{: represents the plots that contains, for each regime, its smoothed and filtered probabilities.}.
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checkRd: (-1) plotProb.Rd:31: Lost braces
31 | -\code{2:(number of regimes +1)}{: represents plot of the regime minus one with the response variable against the smoothed probabilities.}
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Maintainer: ‘Josep A. Sanchez-Espigares <josep.a.sanchez@upc.edu>’
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Package metadata
- First published
- 2013-01-04
- Total releases
- 6 / 13 yrs
- License
- GPL (>= 2.0)
- Bundled data
- 57 KB / 3 files
- Download size
- 374 KB
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