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rsn
2007 Oct 30
2
markov regime switching models
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