R: Non-Homogeneous Markov Switching Autoregressive Models

# Non-Homogeneous Markov Switching Autoregressive Models

## Documentation for package ‘NHMSAR’ version 1.19

- DESCRIPTION file.

## Help Pages

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