fitting Markov Switching Model

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fitting Markov Switching Model

cesare orsini
Dear Users,

i have this time series, the tree lines means different level,  i would use a Markov switching model with two states to modelling this time series. i would obtain the relative transition matrix (2X2)
the first state is  above the value of  23.65 (the higher line)
the second state is below the value of 23.65
You can ignore the other two lines

 
How can i do it?
is there a simple code to do it????
i attached  the dataset
data.txt

any help is appreciated!!!
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Re: fitting Markov Switching Model

Ingmar Visser
Searching markov switch on the R website gives a list of useful hints and
packages:

https://www.google.com/search?q=markov+switch&domains=r-project.org&sitesearch=r-project.org&btnG=Google+Search

If you know the cut-off between states no complicated modeling is
necessary, using something like this (untested):
x[x<23.65] <- 0
x[x>23.65] <- 1
will give you the markov state sequence and the transition matrix follows
from that.

hth, Ingmar Visser

On Fri, Jul 27, 2012 at 8:52 PM, cesare orsini <[hidden email]> wrote:

> Dear Users,
>
> i have this time series, the tree lines means different level,  i would use
> a Markov switching model with two states to modelling this time series. i
> would obtain the relative transition matrix (2X2)
> the first state is  above the value of  23.65 (the higher line)
> the second state is below the value of 23.65
> You can ignore the other two lines
> http://r.789695.n4.nabble.com/file/n4638143/per_forum.jpeg
>
> How can i do it?
> is there a simple code to do it????
> i attached  the dataset
> http://r.789695.n4.nabble.com/file/n4638143/data.txt data.txt
>
> any help is appreciated!!!
>
>
>
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/fitting-Markov-Switching-Model-tp4638143.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [hidden email] 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.
>

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