Results 191 to 200 of about 498,137 (306)

Comparative stability analysis of Indonesian banks: Markov Switching-Dynamic Regression for Islamic and conventional sectors. [PDF]

PLoS One
Mawardi I, Al Mustofa MU, Widiastuti T, Fanani S, Bakri MH, Hanafi Z, Robani A.   +6 more
europepmc   +1 more source

Colombian economic growth under Markov switching regimes with endogenous transition probabilities [PDF]

In this paper, we modelled the Colombian long run per capita economic growth (1925-2005) using a Markov switching regime model with both fixed (FTP) and time-varying transition probabilities (TVTP) to explain regime changes in the economic growth.
María Teresa Ramírez, Martha Misas
core  

A Horse Race of Machine‐Learning Methods to Predict Banking Crises

International Finance, EarlyView.
ABSTRACT To examine if one machine‐learning model can consistently elucidate financial vulnerabilities, both over time and across levels of development, this paper applies 13 machine‐learning algorithms to evaluate comparative forecasting performance across several banking crises.
Emile du Plessis
wiley   +1 more source

Zika emergence, persistence, and transmission rate in Colombia: a nationwide application of a space-time Markov switching model. [PDF]

Sci Rep
Picinini Freitas L, Douwes-Schultz D, Schmidt AM, Ávila Monsalve B, Salazar Flórez JE, García-Balaguera C, Restrepo BN, Jaramillo-Ramirez GI, Carabali M, Zinszer K.   +9 more
europepmc   +1 more source

Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model [PDF]

This paper proposes an infinite dimension Markov switching model to accommodate regime switching and structural break dynamics or a combination of both in a Bayesian framework.
Yong Song
core  

Medical Knowledge Integration Into Reinforcement Learning Algorithms for Dynamic Treatment Regimes

International Statistical Review, EarlyView.
Summary The goal of precision medicine is to provide individualised treatment at each stage of chronic diseases, a concept formalised by dynamic treatment regimes (DTR). These regimes adapt treatment strategies based on decision rules learned from clinical data to enhance therapeutic effectiveness.
Sophia Yazzourh, Nicolas Savy, Philippe Saint‐Pierre, Michael R. Kosorok   +3 more
wiley   +1 more source

Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices

In this paper we discuss the calibration issues of models built on mean-reverting processes combined with Markov switching. Due to the unobservable switching mechanism, estimation of Markov regime-switching (MRS) models requires inferring not only the ...
Weron, Rafal, Janczura, Joanna
core  

Markov regime switching and unit root tests [PDF]

We investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend ...
Eric Zivot, Charles Nelson, Jeremy M. Piger   +2 more
core  

Deep reinforcement learning for multi‐restart metaheuristics: an environment design for a hybrid of unbiased exploratory search and covariance matrix adaptation evolution strategy

International Transactions in Operational Research, EarlyView.
Abstract Multi‐restart metaheuristics can be highly effective for complex optimization problems, yet their performance depends critically on how restarts and algorithmic parameters are selected. This paper introduces a reinforcement learning approach for managing restart‐level decisions and parameter configurations in the UES–CMA‐ES hybrid ...
Antonio Bolufé‐Röhler, Bowen Xu
wiley   +1 more source

Multivariate Regime–Switching GARCH with an Application to International Stock Markets [PDF]

We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure.
Markus Haas, Stefan Mittnik
core