Markov switching time series
Markov-switching autoregressive models for wind time series
... simulated time series are used as input to simulate the behaviour of a system with a low sensitivity to light wind conditions, such as the power value of a wind ...
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Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
... Figure 1: Considered stations. The names are centered on the location of the stations. We focus on 12 locations in France (see map of Figure 1). These locations have been chosen because they provide long time ...
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A Study of Intercept Adjusted Markov Switching Vector Autoregressive Model in Economic Time Series Data
... economic time series data always exhibit nonlinear properties such as structural change, jumps or break in the series through ...linear time series models are no longer suitable and ...
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Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications
... the Markov switching autoregressive model (MS-AR) to the analysis of business cycle have demon- strated its usefulness particularly in dating the cycle in an “objective” ...duration-dependent Markov ...
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Regime Switching in Cointegrated Time Series
... regime switching into the vector error correction model using, among other things, Markov chain monte carlo methods, then the effect of the government’s policy in the volatility of the dairy market may be ...
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Bayesian Markov switching tensor regression for time-varying networks
... The first issue concerns measuring the impact of a given set of covariates on the dynamic process of link formation. We propose a parsimonious model that can be successfully used to this aim, building on a novel research ...
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Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model
... Bayesian Markov switching cointegration model that allows the cointegrating vectors, the number of cointegrating rank, the risk premium, and other parameters to change when regime ...a Markov ...
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Markov Switching Models with state dependent time varying transition probabilities
... of Markov-switching models with time-varying transition prob- ability matrices in which the parameters associated with the latter are subject to random changes driven by an exogenous Markov ...
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Markov-Switching Models with state-dependent time-varying transition probabilities
... of Markov-switching models with time-varying transition prob- ability matrices in which the parameters associated with the latter are subject to random changes driven by an exogenous Markov ...
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Misspecified Markov Switching Model
... and markov switching mod- els have received much interest from both econometric theory and empirical ...the time series of the data is linear or not is not obvious, and requires a statistical ...
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Application of Hidden Markov Models and Hidden Semi Markov Models to Financial Time Series
... both lag orders tested. 4.4.2 Modeling Conditional Betas The fit of the regime switching MS and MSM models to the data was tested with a different number of regimes. According to the AIC, two states turned out to ...
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Good's casualty for time series: a regime-switching framework
... Abstract Causal analysis is a significant role-playing field in the applied sciences such as statistics, econometrics, and technometrics. Particularly, probability-raising models have warranted significant research ...
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Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series
... Furthermore, the problem of a structural break when modeling this relationship has not been addressed in the literature to the best of our knowledge. Many Economic time series data are known to be ...
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CiteSeerX — Moments of Markov Switching Models
... Introduction Markov switching models have become increasingly popular in economic studies of industrial produc- tion, interest rates, stock prices and unemployment ...since Markov switching ...
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Markov switching generalized additive models
... consider Markov-switching regression mod- els, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime ...
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Unit Root Tests with Markov-Switching
... the time-series properties of the economic fundamentals driving the ...other time series in their tests, the monetary base and exchange rate in ...two series would suggest that the ...
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Conditional Markov chain and its application in economic time series analysis
... conditional Markov chain restriction on the conventional Hamilton Markov switching model, we are able to incorporate several important features of major aggregate economic time series ...
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Gibbs sampling approach to regime switching analysis of financial time series
... the Markov Switching approach proposed in the previous chapters, where the high-volatility state have been included without influencing the measures on the low end the medium volatility ...
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Markov regime switching and unit root tests
... economic time series might be better modeled as arising from a probabilistic ...(1989) Markov-switching model to capture regime change in a diverse set of macroeconomic and financial ...
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Markov Trends in Macroeconomic Time Series
... In dit proefschrift beschouwen we methoden voor het analyseren van trends in macro- economische tijdreeksen. We beperken ons tot de hiervoor besproken trendspeci caties. De analyse vindt plaats vanuit een Bayesiaans ...
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