time series regime detection in R?
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On Thu, 2012-02-02 at 09:09 -0600, Michael wrote:
Hi all, good morning and good evening! Could you please point me to some commands/functions/packages in R commutity that can do regime detection for time series? For example, giving a times series of SP500, and maybe other covariates and macro data, we can answer the following questions: 1. How many regimes are there? 2. Are we currently in a new regime and since when? Thank you! [[alternative HTML version deleted]]
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