Results 21 to 30 of about 14,044 (266)
Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing
Risks, 2023 Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model often assumes
Huijing Li, Rui Zhou, Min Ji
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Event-Based Consensus Tracking for Nonlinear Multi-Agent Systems Under Semi-Markov Jump Topology
IEEE Access, 2021 This paper studies the event-triggering leader-follower consensus with the strictly dissipative performance for nonlinear multi-agent systems (MASs) with semi-Markov changing topologies.
Jiafeng Yu +4 more
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Markov-Switching Quantile Autoregression [PDF]
SSRN Electronic Journal, 2014 This paper considers the location‐scale quantile autoregression in which the location and scale parameters are subject to regime shifts. The regime changes in lower and upper tails are determined by the outcome of a latent, discrete‐state Markov process.
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Markov-switching generalized additive models [PDF]
Statistics and Computing, 2015 We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain. Building on the powerful hidden Markov model machinery and the methods for penalized B-splines routinely used in ...
Roland Langrock +3 more
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A Markov-Switching Model of Inflation in Bolivia [PDF]
Economies, 2021 The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, inflation is accurately described by a univariate TMS. The intercept for the high-inflation regime is significantly higher than for the low-inflation regime and the actual ...
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Stability of reaction–diffusion systems with stochastic switching
Nonlinear Analysis, 2019 In this paper, we investigate the stability for reaction systems with stochastic switching. Two types of switched models are considered: (i) Markov switching and (ii) independent and identically distributed switching.
Lijun Pan, Jinde Cao, Ahmed Alsaedi
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Adding flexibility to Markov Switching models [PDF]
Statistical Modelling, 2016 Abstract: Very often time series are subject to abrupt changes in the level, which are generally represented by Markov Switching (MS) models, assuming that the level is constant within a certain state (regime). This is not a realistic framework because in the same regime the level could change with minor jumps with respect to a change
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Markov Switching in Disaggregate Unemployment Rates [PDF]
SSRN Electronic Journal, 2001 We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates.
Marcelle Chauvet +2 more
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IEEE Access, 2019 This paper investigates the H∞ consensus of linear multi-agent systems with semi-Markov switching network topologies and measurement noises. The information that each agent measures its neighbors's has multiplicative noises.
Meiyan Cong, Xiaowu Mu
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Efficient estimation of Markov-switching model with application in stock price classification [PDF]
Mathematics and Modeling in Finance, 2021 In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation
Farshid Mehrdoust +2 more
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