MarSwitching.jl

MarSwitching v0.2.3

Diff since v0.2.2

Version after JOSS review changes

• removed redundant underflow correction, so that package can be fully replicated.

Merged pull requests:

• fix bibtex and manuscript (#9) (@jbytecode)

Closed issues:

• No df_spx.csv in repo files (#8)

MarSwitching v0.2.2

Diff since v0.2.1

MarSwitching v0.2.1

Diff since v0.2.0

• trimmed mean in expected duration summary of TVTP
• Sanity checks for generate_mars with TVTP
• Examples and benchmark in docs
• typos

MarSwitching v0.2.0

Diff since v0.1.1

New functionalities

• Model selection by grid search or random search grid_search_msm() (b8156b73620e7c33f37188b8d4265280d2d7c283)
• Ergodic probabilites of estimated model ergodic_probs() (9cb9a78a706da621aaabd02c7c496e6b4395073d)
• Expectations-Maximizations algorithm instead k-means for initial values - substantial improvement in finding global maxima (https://github.com/m-dadej/MarSwitching.jl/commit/c3c0ccfae92c882905758dd7f6608876f9d04fbe)
• Docs with Documenter.jl (https://m-dadej.github.io/MarSwitching.jl/stable/) (07861a4a91a5d5baddb58c16cf14b36a63f2d15f)

Issues solved:

• Downgraded packages in [compat] (https://github.com/m-dadej/MarSwitching.jl/issues/7)

MarSwitching v0.1.1

Initial release.

- Markov switching model with $k$ regimes and combinations of:
    - switching/non-switching or without intercept
    - switching/non-switching variance
    - switching/non-switching exogenous variables
    - time-varying transition probabilites (TVTP) (Filardo 1994)
- Filtered probabilites
- Smoothed probabilites (Kim, 1994)
- Summary statistics of coefficients
- instanteous and one step ahead `predict()`
- Expected regime duration
- Simulation of data both from estimated model and from given parameters
- Adding lagged variables to the matrix