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] -0.7917086  0.9456868
#> 
#> $sigma
#> [1] 0.8359085 0.4274305
#> 
#> $transition
#>           [,1]      [,2]
#> [1,] 0.6749473 0.5133426
#> [2,] 0.3250527 0.4866574
#> 
#> $smoothed_probabilities
#>               [,1]         [,2]
#>  [1,] 7.136360e-13 1.000000e+00
#>  [2,] 8.140691e-02 9.185931e-01
#>  [3,] 9.991546e-01 8.454104e-04
#>  [4,] 5.669933e-01 4.330067e-01
#>  [5,] 9.989079e-01 1.092056e-03
#>  [6,] 9.940786e-01 5.921369e-03
#>  [7,] 9.999854e-01 1.462991e-05
#>  [8,] 9.999999e-01 1.394607e-07
#>  [9,] 6.957460e-01 3.042540e-01
#> [10,] 1.963823e-01 8.036177e-01
#> [11,] 9.936079e-01 6.392061e-03
#> [12,] 9.959402e-01 4.059821e-03
#> [13,] 9.994119e-01 5.880571e-04
#> [14,] 1.000000e+00 4.841357e-14
#> [15,] 7.748724e-02 9.225128e-01
#> [16,] 4.569464e-02 9.543054e-01
#> [17,] 9.999994e-01 5.993842e-07
#> [18,] 1.000000e+00 7.622890e-10
#> [19,] 9.999826e-01 1.744115e-05
#> [20,] 1.420178e-01 8.579822e-01
#> [21,] 8.878928e-02 9.112107e-01
#> [22,] 5.513920e-02 9.448608e-01
#> [23,] 8.464358e-01 1.535642e-01
#> [24,] 1.000000e+00 3.388367e-09
#> [25,] 8.689304e-01 1.310696e-01
#> [26,] 5.849071e-02 9.415093e-01
#> [27,] 7.756165e-01 2.243835e-01
#> [28,] 1.000000e+00 2.295845e-11
#> [29,] 6.186171e-02 9.381383e-01
#> [30,] 7.621877e-01 2.378123e-01
#> [31,] 8.710484e-02 9.128952e-01
#> [32,] 9.536686e-01 4.633136e-02
#> [33,] 9.999972e-01 2.838294e-06
#> [34,] 9.999958e-01 4.175058e-06
#> [35,] 1.000000e+00 1.339564e-09
#> [36,] 1.691273e-01 8.308727e-01
#> [37,] 1.338224e-01 8.661776e-01
#> [38,] 1.000000e+00 1.349566e-09
#> [39,] 9.996250e-01 3.750406e-04
#> [40,] 6.021097e-01 3.978903e-01
#> [41,] 4.211503e-02 9.578850e-01
#> [42,] 6.879047e-02 9.312095e-01
#> [43,] 2.871024e-02 9.712898e-01
#> [44,] 6.587612e-02 9.341239e-01
#> [45,] 9.982268e-01 1.773189e-03
#> [46,] 3.698555e-01 6.301445e-01
#> [47,] 6.659651e-02 9.334035e-01
#> [48,] 9.999984e-01 1.580826e-06
#> [49,] 9.997111e-01 2.889143e-04
#> [50,] 7.870217e-01 2.129783e-01
#> [51,] 5.064291e-02 9.493571e-01
#> 
#> $loglik
#> [1] 71.39149
#> 
#> $n
#> [1] 50
#> 
#> $k_regimes
#> [1] 2
#> 
#> $method
#> [1] "MSwM (K=2)"
#>