A classifying procedure for signalling turning points
نویسندگان
چکیده
منابع مشابه
A Classifying Procedure for Signaling Turning Points
A Hidden Markov Model (HMM) is used to classify an out of sample observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. Instead of maximizing a likelihood, the model is estimated with respect to known past regimes. This makes it possible to perform feature extraction and estimati...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2004
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.905