Results 281 to 290 of about 1,700,696 (345)

Moments of Markov switching models [PDF]

Journal of Econometrics, 2000
Let \(\{\varepsilon_t\}\) be i.i.d. \(N(0,1)\) random variables and \(S_t\) an unobserved stationary ergodic \(k\)-state Markov homogeneous process. The author deals with three types of Markov switching models, namely (MS I) \(y_t=\mu_{S_t} +\sigma_{S_t}\varepsilon_t\), (MS II) \(y_t=\mu_{S_t} +\varphi_1(y_{t-1}-\mu_{S_{t-1}})+\sigma_{S_t}\varepsilon_t\
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Markov-switching mixed-frequency VAR models

International Journal of Forecasting, 2015
Abstract This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments.
Foroni, Claudia, Guérin, Pierre, MARCELLINO, MASSIMILIANO   +2 more
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Nonstationary l2-l∞ filtering for Markov switching repeated scalar nonlinear systems with randomly occurring nonlinearities

Applied Mathematics and Computation, 2020
This paper is concerned with nonstationary l 2 − l ∞ filtering for Markov switching repeated scalar nonlinear systems (MSRSNSs) with randomly occurring nonlinearities (RONs), where measurement output is modeled by a mode-dependent random variable that ...
Jun Cheng, Yang Zhan
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Sliding Mode Control for Nonlinear Stochastic Semi-Markov Switching Systems With Application to SRMM

IEEE transactions on industrial electronics (1982. Print), 2020
In this paper, the sliding mode control (SMC) design for nonlinear stochastic semi-Markov switching systems (S-MSSs) is studied via the bound of time-varying transition rate matrix, in which semi-Markov switching parameters, stochastic disturbance ...
Wenhai Qi, Guangdeng Zong, H. Karimi
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Distributed Dynamic Self-Triggered Control for Uncertain Complex Networks With Markov Switching Topologies and Random Time-Varying Delay

IEEE Transactions on Network Science and Engineering, 2020
This paper studies the synchronization of complex networks with probabilistic interval delay and Markov switching topologies by using a novel dynamic self-triggered control (DSTC) scheme.
Xuegang Tan, Jinde Cao, L. Rutkowski
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Event-triggered synchronization in fixed time for semi-Markov switching dynamical complex networks with multiple weights and discontinuous nonlinearity

Communications in nonlinear science & numerical simulation, 2020
This paper is concerned with on the event-triggered synchronization in fixed time for semi-Markov switching dynamical complex networks with multiple weights and discontinuous nonlinearity.
Jie Liu, Huaiqin Wu, Jinde Cao
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Tourism, terrorism and political violence in Tunisia: Evidence from Markov-switching models

Tourism Management, 2019
This study investigates the impact of terrorist attacks and political violence on the number of tourist arrivals and overnight stays in Tunisia. The dataset employed consists of monthly data that covers the period from January 2000 to September 2016 ...
C. Lanouar, M. Goaied
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New reliable nonuniform sampling control for uncertain chaotic neural networks under Markov switching topologies

Applied Mathematics and Computation, 2019
This paper studies the stochastic exponential synchronization problem for uncertain chaotic neural networks (UCNNs) with probabilistic faults (PFs) and randomly occurring time-varying parameters uncertainties(ROTVPUs).
Kaibo Shi, Jun Wang, S. Zhong, Xiaojun Zhang, Yajuan Liu, Jun Cheng   +5 more
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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 ...
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Optimal Test for Markov Switching Parameters

Econometrica, 2014
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Carrasco, Marine, Hu, Liang, Ploberger, Werner   +2 more
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