Results 241 to 250 of about 14,010 (266)

MARKOV SWITCHING AUTOREGRESSIVE

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, Puspita, Entit, Suherman, Maman   +2 more
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Markov Switching Models

This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
openaire   +1 more source

Switching Between Chartists And Fundamentalists: A Markov Regime-Switching Approach

SSRN Electronic Journal, 1996
Depuis le début des années 80, les modèles fondés sur les facteurs économiques fondamentaux n'ont guère contribué à expliquer les variations du taux de change (Messe 1990). Devant ce problème, Frankel et Froot (1988) ont élaboré un modèle dans lequel ils ont utilisé deux approches de prévision du taux de change : l'approche fondamentaliste, dans ...
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Averaging in Markov Models with Fast Markov Switches and Applications to Queueing Models

Annals of Operations Research, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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.
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Almost Sure Stability of Markov Jump Systems With Persistent Dwell Time Switching

IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2021
Siyi Li, Jie Lian
exaly  

Short-term wind speed forecasting with Markov-switching model

Applied Energy, 2014
Zijun Zhang, Zhe Song
exaly  

Markov Switching Models

2018
Massimo Guidolin, Manuela Pedio
openaire   +1 more source

Almost Sure Stability of Switching Markov Jump Linear Systems

IEEE Transactions on Automatic Control, 2016
Minrui Fei, Yang Song
exaly  

Specification testing in Markov-switching time-series models

Journal of Econometrics, 1996
James Hamilton
exaly