Hello, On 10/30/07, valentina bonetti <[EMAIL PROTECTED]> 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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
