Is there anything like GitHub - msperlin/MS_Regress-Matlab: Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models for Markov “regime switching” written in Julia? I know we have quite a bit of stuff for more complicated Markov models, but does any of it handle the simple stuff like this?
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Bumping this topic since someone else brought it back to my attention. Still would be nice to have something like this in a package.
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Hey, there is package you are looking for now. I am developing it. GitHub - m-dadej/Mars.jl: MARS.jl: Julia package for MARkov Switching dynamic models
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Very cool!
Update: the package is now in general registry but unfortunately had to change the name to MarSwitching.jl
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