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: 1.4
Depends: methods, graphics, parallel
Imports: nlme
Published: 2018-07-16
Author: Josep A. Sanchez-Espigares, Alberto Lopez-Moreno
Maintainer: Josep A. Sanchez-Espigares <josep.a.sanchez at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2.0)]
NeedsCompilation: no
In views: TimeSeries
CRAN checks: MSwM results


Reference manual: MSwM.pdf
Vignettes: example
Package source: MSwM_1.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: MSwM_1.4.tgz, r-oldrel: MSwM_1.4.tgz
Old sources: MSwM archive

Reverse dependencies:

Reverse imports: fDMA
Reverse suggests: ggfortify


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