Time-Varying Transition Probabilities for Markov Regime Switching Models
نویسندگان
چکیده
منابع مشابه
Time Varying Transition Probabilities for Markov Regime Switching Models
We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the predictive likelihood function. We show how the model dynamics can be readily interpreted. We investigat...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2016
ISSN: 0143-9782
DOI: 10.1111/jtsa.12211