MSwM (1.4)

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) ).

Maintainer: Josep A. Sanchez-Espigares
Author(s): Josep A. Sanchez-Espigares, Alberto Lopez-Moreno

License: GPL (>= 2.0)

Uses: nlme
Reverse suggests: ggfortify

Released over 1 year ago.