There are 0 repository under markov-switching topic.
Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Likelihood ratio based tests for regime switching
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
Create sparse transition matrices given state-space vectors, mean, variance