[R] markov regime switching models
Liviu Andronic
landronimirc at gmail.com
Sun Nov 4 18:23:21 CET 2007
Hello,
On 10/30/07, valentina bonetti <valentina.bonetti at gmail.com> wrote:
> Hi,
>
> I am looking for a package to estimate regime switching models (states
> following a markov chain).
> I found packages for Hidden Markov Models but I am looking for something a
> little different: In the HMM the conditional distribution of the
> observations (give the state) is a known distribution (normal or others),
> while the package I need should allow to set a conditional distribution
> (given the state) which can be still modelled (for example with
> mean-reversion or jump diffusion...).
>
> I think the theory under this estimation technique is in "James D. Hamilton,
> A New Approach to the Economic Analysis of Nonstationary Time Series and the
> Business Cycle (1989)"
Not sure if this is the answer to your question, but check these
references to "markov" in the Task Views [1].
[1] http://www.google.com/search?client=opera&rls=en&q=markov+site:http://cran.r-project.org/src/contrib/Views/&sourceid=opera&ie=utf-8&oe=utf-8
Regards,
Liviu
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