Markov-switching regression (Hamilton 1989)

Fit a constant-mean, switching-variance K-regime Markov-switching model by EM (Hamilton filter).

Usage

morie_regime_switching(x, k_regimes = 2)

Arguments

x

Numeric univariate series.

k_regimes

Number of latent regimes. Default 2.

Value

Named list with mu, sigma, transition, smoothed_probabilities, loglik, n, k_regimes, method.

Examples

morie_regime_switching(x = rnorm(50))
#> $mu
#> [1] -0.7773202  0.2583882
#> 
#> $sigma
#> [1] 0.7633189 0.6395457
#> 
#> $transition
#>              [,1]      [,2]
#> [1,] 0.0001930547 0.2904504
#> [2,] 0.9998069453 0.7095496
#> 
#> $smoothed_probabilities
#>               [,1]       [,2]
#>  [1,] 0.0160764567 0.98392354
#>  [2,] 0.2965814560 0.70341854
#>  [3,] 0.0926966852 0.90730331
#>  [4,] 0.1132561103 0.88674389
#>  [5,] 0.6196937869 0.38030621
#>  [6,] 0.0841348329 0.91586517
#>  [7,] 0.1060291938 0.89397081
#>  [8,] 0.2328648686 0.76713513
#>  [9,] 0.0552849029 0.94471510
#> [10,] 0.8630554221 0.13694458
#> [11,] 0.0057905013 0.99420950
#> [12,] 0.0850583081 0.91494169
#> [13,] 0.1595179562 0.84048204
#> [14,] 0.4302535962 0.56974640
#> [15,] 0.0208033341 0.97919667
#> [16,] 0.0745017438 0.92549826
#> [17,] 0.4724827567 0.52751724
#> [18,] 0.0291523088 0.97084769
#> [19,] 0.0485840378 0.95141596
#> [20,] 0.1544561307 0.84554387
#> [21,] 0.0567911419 0.94320886
#> [22,] 0.0597330953 0.94026690
#> [23,] 0.4091878987 0.59081210
#> [24,] 0.0319770962 0.96802290
#> [25,] 0.4615125735 0.53848743
#> [26,] 0.0987986020 0.90120140
#> [27,] 0.0009504964 0.99904950
#> [28,] 0.9928251003 0.00717490
#> [29,] 0.0002343380 0.99976566
#> [30,] 0.3834272976 0.61657270
#> [31,] 0.0440929718 0.95590703
#> [32,] 0.1795179206 0.82048208
#> [33,] 0.2536812192 0.74631878
#> [34,] 0.1100413442 0.88995866
#> [35,] 0.0613072030 0.93869280
#> [36,] 0.0423748867 0.95762511
#> [37,] 0.5486255113 0.45137449
#> [38,] 0.1135155054 0.88648449
#> [39,] 0.2243419330 0.77565807
#> [40,] 0.2122803703 0.78771963
#> [41,] 0.3500510921 0.64994891
#> [42,] 0.0784278516 0.92157215
#> [43,] 0.6213199472 0.37868005
#> [44,] 0.0901620550 0.90983795
#> [45,] 0.0105055877 0.98949441
#> [46,] 0.8304390664 0.16956093
#> [47,] 0.0047072555 0.99529274
#> [48,] 0.0215423806 0.97845762
#> [49,] 0.9443251322 0.05567487
#> [50,] 0.0037215457 0.99627845
#> [51,] 0.1331319206 0.86686808
#> 
#> $loglik
#> [1] 58.4224
#> 
#> $n
#> [1] 50
#> 
#> $k_regimes
#> [1] 2
#> 
#> $method
#> [1] "MSwM (K=2)"
#>