Results 31 to 40 of about 32,949 (205)
Prediction of PM2.5 pollution in Tehran air based on temperature and pressure using Markovian regime-switching non-parametric additive transitive regression model [PDF]
ریاضی و جامعه, 2023 In this paper, we introduce the Markovian regime-switching regression model, which is a graphical model based on the hidden Markov model. This model can be viewed as a clustered regression model, in which a Markov process models the transition from one ...
Morteza Amini
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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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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 of state; this ...
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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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Modelling foreign exchange rates: a comparison between markov-switching and markov-switching GARCH
Indonesian Journal of Electrical Engineering and Computer Science, 2020 Foreign exchange rate is important as it determines a country's economic condition. It is used to carry out transfers of purchasing power between two or more countries. Volatility in exchange rates may result in difficulty in decision making especially, in financial sectors as high volatility could increase the risk in exchange rates.
Nunian, Mohd Azizi Amin +2 more
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Exchange Rates and Markov Switching Dynamics [PDF]
SSRN Electronic Journal, 2004 This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior.
Yin-wong Cheung, Ulf G. Erlandsson
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Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
EconomiA, 2016 The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of ...
Caio César Soares Gonçalves +2 more
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Mathematics, 2022 This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over the flexible exchange rates period from 1973 to 2004.
Michael Frömmel +2 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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Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, 2019 We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming.
David Ardia +4 more
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