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Dynamic neural network modulation associated with rumination in major depressive disorder: a prospective observational comparative analysis of cognitive behavioral therapy and pharmacotherapy. [PDF]

open access: yesTransl Psychiatry
Katayama N   +15 more
europepmc   +1 more source

Dynamic Segmentation using Markov-Switching Model

open access: yesDynamic Segmentation using Markov-Switching Model
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Moments of Markov switching models [PDF]

open access: possibleJournal 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\
openaire   +1 more source
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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   +2 more
openaire   +4 more sources

Testing Markov switching models

Applied Economics, 2014
In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework.
openaire   +1 more source

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