m-dadej/MarSwitching.jl
MarSwitching.jl: Julia package for Markov switching dynamic models :chart_with_upwards_trend:
This tool helps you analyze time-series data where the underlying behavior or 'regime' changes unexpectedly, like during an economic recession or a period of high market volatility. You input your historical data, and it outputs a model that identifies these hidden states, estimates the probabilities of switching between them, and provides parameters for each state. Financial analysts, economists, and operations engineers can use this to better understand and forecast dynamic systems.
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Use this if you need to model data whose statistical properties (like average value, impact of external factors, or variability) are likely to shift abruptly over time due to unobservable influences.
Not ideal if your data exhibits constant statistical properties or changes in a smooth, predictable manner, as simpler time-series models might suffice.
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Julia
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MIT
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Last pushed
Aug 01, 2024
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