Results 151 to 160 of about 111,800 (195)

SADQN-Based Residual Energy-Aware Beamforming for LoRa-Enabled RF Energy Harvesting for Disaster-Tolerant Underground Mining Networks. [PDF]

Sensors (Basel)
Anabi HK, Frimpong S, Madria S.
europepmc   +1 more source

Momentum, volume and investor sentiment study for u.s. technology sector stocks-A hidden markov model based principal component analysis. [PDF]

PLoS One
Li S.
europepmc   +1 more source

Joint Bayesian Hidden Markov Model With Subject-Specific Transitions for Wearable Sensor Data. [PDF]

Stat Med
Fei W, Miao Z, Xu T, Wang Y.
europepmc   +1 more source

Inferring behavioural states from tracking data with hidden Markov models - a validation study using GPS video-camera collars. [PDF]

Mov Ecol
Larue B, Farr JJ, Ehlers L, Herriges J, Bentzen T, Suitor MJ, Joly K, Michelot T, Vuillaume B, Côté SD, Gurarie E, Hebblewhite M.   +11 more
europepmc   +1 more source

Moments of Markov switching models [PDF]

Journal 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

Some of the next articles are maybe not open access.

Related searches:

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, Guérin, Pierre, MARCELLINO, MASSIMILIANO   +2 more
openaire   +4 more sources

INTEGRATED MARKOV-SWITCHING GARCH PROCESS

Econometric Theory, 2009
This paper investigates stationarity of the so-called integrated Markov-switching generalized autoregressive conditionally heteroskedastic (GARCH) process, which is an important subclass of the Markov-switching GARCH process introduced by Francq, Roussignol, and Zakoïan (2001,Journal of Time Series Analysis22,197–220) and a Markov-switching version of ...
openaire   +2 more sources

Optimal Test for Markov Switching Parameters

Econometrica, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carrasco, Marine, Hu, Liang, Ploberger, Werner   +2 more
openaire   +2 more sources

Markov switching and exchange rate predictability

International Journal of Forecasting, 2011
Abstract We first show that the recent success of modern macroeconomic models in forecasting nominal exchange rates, evaluated using the  Clark and West (2006) inference procedure, is partly due to the presence of the constant term (drift), in addition to the economic fundamentals.
Alex Nikolsko-Rzhevskyy, Ruxandra Prodan
openaire   +1 more source

Markov Switching GARCH Diffusion [PDF]

, 2008
GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments of financial data.
Carol Alexander, Emese Lazar
openaire