[R-SIG-Finance] time series regime detection in R?

Brian G. Peterson brian at braverock.com
Thu Feb 2 16:18:48 CET 2012


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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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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



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