Fitting Markov Switching Models
Akaike Information Criterion for Markov Switching models.
Price of energy in Spain
Example data generated
Function: Confidence Intervals on Coefficients
Internal msmFit objects and methods
MSwM package
Class "MSM.fitted"
Class "MSM.glm"
Class "MSM.lm"
Fitting Markov Switching Models
Extract Markov Switching Model Residuals
Function: plot for Markov Switching Models
Plot Diagnostics for an msm Object
Plot of filtered and smoothed probabilities with regimes specification...
Comparative plots of response and explanatory variables with regime sp...
Function: Summary for Markov Switching Models
Traffic Deads in Spain
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>).