rcppbugs and markov switching model
Have you thought about trying viterbi first? There is an example here: http://www.r-bloggers.com/regime-detection/ If you don't want to use that you can try the example here on about page page 29: http://www.rinfinance.com/agenda/2012/talk/WhitArmstrong.pdf If you decide you want to use mcmc, I think the way to go is to write the model in c++ and call it with Rcpp. You should override the random walk classes for bernoulli and use gibbs within metropolis. There is an example of that here (for a linear model): https://github.com/armstrtw/CppBugs/tree/master/test/r.inline.example If you need some help then feel free to contact me off list. -Whit
On Wed, Aug 28, 2013 at 9:10 PM, pu chen <chenpuias at gmail.com> wrote:
Anyone know how to use rcppbugs to estimate markov switching model? Thanks.
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