Non-Homogeneous Markov Switching Autoregressive Models

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Documentation for package ‘NHMSAR’ version 1.19

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NH-MSAR-package (Non) Homogeneous Markov switching autoregressive model
Cond.prob.MSAR Conditional probabilities for (non) homogeneous MSAR models
cor.MSAR Empirical correlation functions comparison .
cross.cor.MSAR empirical cross-correlation for multivariate MSAR time series
emisprob.MSAR.VM Emission probabilities for von Mises MSAR
ENu_graph Plots empirical expected number of upcrossings of level u with respect to P(Y<u)
Estep.MSAR Estep of the EM algorithm for fitting (non) homogeneous Markov switching auto-regressive models.
Estep.MSAR.VM Estep of the EM algorithm for fitting von Mises (non) homogeneous Markov switching auto-regressive models.
fit.MSAR Fit (non) homogeneous Markov switching autoregressive models
fit.MSAR.VM Fit von Mises (non) homogeneous Markov switching autoregressive models
forecast.prob.MSAR Forecast probabilities for (non) homogeneous MSAR models
forwards_backwards Forward Backward for homogeneous MSAR models
init.theta.MSAR Initialisation function for MSAR model fitting
init.theta.MSAR.VM Initialisation function for von Mises MSAR model fitting
log_dens_Von_Mises von Mises log likelihood.
MeanDurOver Mean Duration of sojourn over a treshold
MeanDurUnder Mean Duration of sojourn under a treshold
meteo.data Meteorological at Brest (France) for January month from 1973 to 2013
Mstep.classif fit an AR model for each class of C
Mstep.hh.lasso.MSAR M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hh.MSAR M step of the EM algorithm for fitting homogeneous Markov switching auto-regressive models.
Mstep.hh.MSAR.VM M step of the EM algorithm for fitting von Mises Markov switching auto-regressive models.
Mstep.hh.MSAR.with.constraints M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with constraints on VAR models.
Mstep.hh.reduct.MSAR M step of the EM algorithm for fitting homogeneous Markov switching auto-regressive models with constraints on the matrices.
Mstep.hh.ridge.MSAR M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hh.SCAD.cw.MSAR M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with SCAD penalization of parameters of the VAR(1) models.
Mstep.hh.SCAD.MSAR M step of the EM algorithm for fitting homogeneous multivariate Markov switching auto-regressive models with penalization of parameters of the VAR(1) models.
Mstep.hn.MSAR M step of the EM algorithm for fitting Markov switching auto-regressive models with non homogeneous emissions.
Mstep.nh.MSAR M step of the EM algorithm.
Mstep.nh.MSAR.VM M step of the EM algorithm for von Mises MSAR models
Mstep.nn.MSAR M step of the EM algorithm.
NH-MSAR (Non) Homogeneous Markov switching autoregressive model
nhforwards_backwards Forward Backward for MSAR models with non homogeneous transitions
PibDetteDemoc Annual GDP and Debt data 1970-2010
prediction.MSAR One step ahead predict for (non) homogeneous MSAR models
regimes.plot.MSAR Plot MSAR time series with regimes
simule.nh.MSAR Simulation of (non) homogeneous Markov Stiwtching autoregressive models
simule.nh.MSAR.VM Simulation of (non) homogeneous Markov Stiwtching autoregressive models von Mises innovations
simule_MC Simulates Markov chain of length T
test.model.MSAR Performs bootstrap statistical tests to validate MSAR models.
test.model.vect.MSAR Performs bootstrap statistical tests on covariance to validate MSVAR models.
U Winter wind data at 18 locations offshore of France
valid_all.MSAR Statistics plotting for validation of MSAR models
viterbi_path Viterbi path homogeneous MSAR models
WindDir January wind direction at Ouessant