CRAN

MMLR 0.1.0

Fitting Markov-Modulated Linear Regression Models

Released Feb 3, 2019 by Nadezda Spiridovska

This package cannot yet be used with Renjin it depends on other packages which are not available: matlib 0.9.1

Dependencies

matlib 0.9.1

A set of tools for fitting Markov-modulated linear regression, where responses Y(t) are time-additive, and model operates in the external environment, which is described as a continuous time Markov chain with finite state space. Model is proposed by Alexander Andronov (2012) and algorithm of parameters estimation is based on eigenvalues and eigenvectors decomposition. Also, package will provide a set of data simulation tools for Markov-modulated linear regression (for academical/research purposes). Research project No. 1.1.1.2/VIAA/1/16/075.

Source

R

View GitHub Mirror

Release History