Results 61 to 70 of about 32,949 (205)
Perturbation Methods for Markov-Switching DSGE Models [PDF]
SSRN Electronic Journal, 2013 This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well de?ned.
Andrew T. Foerster +3 more
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Explicit-Duration Markov Switching Models [PDF]
Foundations and Trends® in Machine Learning, 2014 Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain.
openaire +2 more sources
KAJIAN INDIKATOR PERINGATAN DINI BANK RUNS DI INDONESIA: PENDEKATAN MARKOV-SWITCHING
Buletin Ekonomi Moneter dan Perbankan, 2012 A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again.
Iskandar Simorangkir
doaj +1 more source
MARKOV SWITCHING AUTOREGRESSIVE
Jurnal EurekaMatika, 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 +2 more
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Using Markov switching models to infer dry and rainy periods from telecommunication microwave link signals [PDF]
Atmospheric Measurement Techniques, 2012 A Markov switching algorithm is introduced to classify attenuation measurements from telecommunication microwave links into dry and rainy periods. It is based on a simple state-space model and has the advantage of not relying on empirically estimated ...
Z. Wang +4 more
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Spillover Effect of US Monetary Policy to ASEAN Stock Market
Jurnal Economia, 2019 : This study analyzes the spillover effects of the US monetary policy on the ASEAN stock market with Markov switching model and investigates differences in empirical results of each country from ASEAN member.
Aniek Hindrayani +2 more
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Has the G7 business cycle become more synchronized ? [PDF]
This paper adopts Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent Markov Switching negative shock and domestic idiosyncratic components.
Jae Ho, Yoon
core
Consensus for Multiple Unmanned Surface Vehicle (Musv) Systems with Markov Switching Topologies
Polish Maritime Research, 2019 This paper is concerned with sampled-data leader following consensus of multiple unmanned surface vehicle (MUSV) systems with random switching network topologies and wave-induced disturbance.
Wang Liyuan, Yue Wei, Zhang Rubo
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Exchange Rates and Markov Switching Dynamics [PDF]
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 ...
Ulf G. Erlandsson, Yin-Wong Cheung
core
Markov-Switching Model Selection Using Kullback-Leibler Divergence [PDF]
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously.
Naik, Prasad A. +2 more
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