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?
Bumping this topic since someone else brought it back to my attention. Still would be nice to have something like this in a package.
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
Very cool!
Update: the package is now in general registry but unfortunately had to change the name to MarSwitching.jl