TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

Time delay model for the stochastic volatility with regime switching

Markov Regime Switching Stochastic Volatility

This is a project on modeling time-varying volatility of S&P 500 weely return for the years 1990 to 2012 using Bayesian methods. First, MCMC on the log-stochastic volatility (SV) model is implemented with simulation results analyzed. Second, I generalize the SV model to encompass regime-switching properties with the markov switching log-stochastic volatility (MSSV) model, under which, high-vola...

Regime-Switching Factor Models for High-Dimensional Time Series

We consider a factor model for high-dimensional time series with regime-switching dynamics. The switching is assumed to be driven by an unobserved Markov chain; the mean, factor loading matrix and covariance matrix of the noise process are different among the regimes. The model is an extension of the traditional factor models for time series and provides flexibility in dealing with real applica...

Non-parametric Segmentation of Regime-switching Time Series with Oblique Switching Trees

We introduce a non-parametric approach for the segmentation in regime-switching time-series models. The approach is based on spectral clustering of target-regressor tuples and derives a switching regression tree, where regime switches are modeled by oblique splits. Our segmentation method is very parsimonious in the number of splits evaluated during the construction process of the tree–for a ca...

Stochastic Functional Differential Equation under Regime Switching

We discuss stochastic functional differential equation under regime switching dx t f xt, r t , t dt q r t x t dW1 t σ r t |x t |βx t dW2 t . We obtain unique global solution of this system without the linear growth condition; furthermore, we prove its asymptotic ultimate boundedness. Using the ergodic property of the Markov chain, we give the sufficient condition of almost surely exponentially ...