economic modelsIn this paper, Hamilton's (1988, 1989) Markov-switching model is extended to a general state-space model. This paper also complements Shumway and Stoffer's (1991) dynamic linear models with switching, by introducing dependence in the switching process, and by allowing switching ...
Dynamic linear models with Markov-switching Journal of Econometrics (1994) W.K. Newey et al. Large sample estimation and hypothesis testingView more references Cited by (213) Forecasting: theory and practice 2022, International Journal of Forecasting Show abstract Financialization, crisis and commodity...
This model class covers finite mixture modeling, Markov switching autoregressive modeling, and dynamic linear models with switching. The consequences the unidentifiability of this type of model has on Markov chain Monte Carlo (MCMC) estimation are explicitly dealt with. Joint Bayesian estimation of all...
Gibbs sampling approach to regime switching analysis of financial time series We will introduce a Monte Carlo type inference in the framework of Markov Switching models to analyse financial time series, namely theGibbs Sampling. In p... LD Persio,M Frigo - 《Journal of Computational & Applied Ma...
To estimate the time frame of the information processing involved in behavioral transitions, we analyzed behavioral sequences using Markov chain models. The modeling revealed that accounting for preceding behaviors did not improve predictions about the upcoming one (Extended Data Fig.2a). This suggested...
python machine-learning hmm time-series dtw multivariate knn dynamic-time-warping sequence-classification hidden-markov-models sequential-patterns time-series-classification multivariate-timeseries variable-length classification-algorithms k-nearest-neighbor-classifier Updated Dec 30, 2024 Python Gordon...
In particular, we propose a novel method that allows for time-varying sparsity, based on an extension of spike-and-slab priors for dynamic models. This is done by assigning appropriate Markov switching priors for the time-varying coefficients' variances, extending the previous work of Ishwaran ...
Addressing the interconnectedness of oil prices and foreign exchange rates poses a substantial challenge and raises significant questions within economic research. Existing studies reveal a fragmented understanding of the dynamics between these crucial v
Finite-time synchronization for complex dynamic networks with semi-Markov switching topologies: An H <inf>∞</inf> event-triggered control scheme 2019, Applied Mathematics and Computation Show abstract Finite-time synchronization of memristor chaotic systems and its application in image encryption 2019,...
Markov modelsH-INFINITY CONTROLOBSERVABLE LQG PROBLEMH-2-CONTROLIn this work we study the design of dynamic output feedback controllers for continuous-time Markov jump linear systems in the worst case scenario of partial observation of both, the Markov chain and the state, through an iterative ...