Results 311 to 320 of about 1,700,696 (345)
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Markov Switches and Extreme Events
2012This chapter examines the effects of a dramatic switch in the dynamics of economic growth for the term structure of the discount rate over the longer term. Economies undergo radical transformations. One such radical transformation was called the “industrial revolution” which has had a long-lasting effect on economic growth.
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Finite Mixture and Markov Switching Models
, 2006Sylvia Frühwirth-Schnatter
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What drives oil prices? — A Markov switching VAR approach
, 2021Xu Gong +4 more
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Offline fitting Markov switching model
Model Assisted Statistics and Applications, 2019Markov regime switching models remain enormously popular in speech recognition, economics, finance, etc. Nonparametric segmentation in switching models without probability assignment of jump moments is in many papers by Brodsky and Darkhovsky. We model all regimes as long SCOT strings.
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Asynchronous Fault Detection Observer for 2-D Markov Jump Systems
IEEE Transactions on Cybernetics, 2022Peng Cheng +2 more
exaly
2019
This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
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This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
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Markov Switching Time Series Models
2012Abstract We give a review of time series with regime-switching, which look stationary over limited time intervals, but where the data-generating mechanism may suddenly change sometimes. After briefly discussing observation driven switching, we focus on Markov switching where changes are controlled by a hidden Markov chain.
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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
Markov switching model (in Russian) [PDF]
Quantile, 2013 We discuss the Markov switching model, one of most popular nonlinear time series models. This model involves switching between multiple structures that characterize different time series behaviors in different regimes, the switching mechanism being controlled by an unobservable variable that follows a Markov chain process.
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