Results 241 to 250 of about 14,044 (266)

INTEGRATED MARKOV-SWITCHING GARCH PROCESS

Econometric Theory, 2009
This paper investigates stationarity of the so-called integrated Markov-switching generalized autoregressive conditionally heteroskedastic (GARCH) process, which is an important subclass of the Markov-switching GARCH process introduced by Francq, Roussignol, and Zakoïan (2001,Journal of Time Series Analysis22,197–220) and a Markov-switching version of ...
openaire   +2 more sources

MARKOV SWITCHING AUTOREGRESSIVE

2014
Runtun waktu ialah himpunan observasi yang dicatat berurut berdasarkan waktu. Tujuan dari metode runtun waktu ialah menemukan model yang sesuai sehingga didapatkan hasil peramalan yang baik. Salah satu model runtun waktu yang telah dikenal adalah Autoregressive.
Rahman, Jaelani, Puspita, Entit, Suherman, Maman   +2 more
openaire   +1 more source

Markov Switching Models

This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
openaire   +1 more source

Trend in Markov Switching VAR Models

We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
openaire   +2 more sources

Almost Sure Stability of Markov Jump Systems With Persistent Dwell Time Switching

IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2021
Siyi Li, Jie Lian
exaly  

Markov Switching Models

2018
Massimo Guidolin, Manuela Pedio
openaire   +1 more source

Short-term wind speed forecasting with Markov-switching model

Applied Energy, 2014
Zijun Zhang, Zhe Song
exaly  

Almost Sure Stability of Switching Markov Jump Linear Systems

IEEE Transactions on Automatic Control, 2016
Minrui Fei, Yang Song
exaly  

Specification testing in Markov-switching time-series models

Journal of Econometrics, 1996
James Hamilton
exaly  

Markov switching multinomial logit model: An application to accident-injury severities

Accident Analysis and Prevention, 2009
Fred Mannering
exaly