Results 271 to 280 of about 112,777 (296)

Markov-switching proxy BVARs

2019
This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
openaire   +1 more source

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.
openaire   +2 more sources

Markov Switching Models

2018
Massimo Guidolin, Manuela Pedio
openaire   +1 more source

Markov Switching Time Series Models

2012
Abstract We give a review of time series with regime-switching, which look stationary over limited time intervals, but where the data-generating mechanism may suddenly change sometimes. After briefly discussing observation driven switching, we focus on Markov switching where changes are controlled by a hidden Markov chain.
openaire   +1 more source

Fuzzy-Model-Based Control for Singularly Perturbed Systems With Nonhomogeneous Markov Switching: A Dropout Compensation Strategy

IEEE Transactions on Fuzzy Systems, 2022
Jun Cheng, Wentao Huang, Hak-Keung Lam
exaly  

Markov switching model (in Russian) [PDF]

Quantile, 2013
We discuss the Markov switching model, one of most popular nonlinear time series models. This model involves switching between multiple structures that characterize different time series behaviors in different regimes, the switching mechanism being controlled by an unobservable variable that follows a Markov chain process.
openaire  

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  

Nonstationary Filtering for Fuzzy Markov Switching Affine Systems With Quantization Effects and Deception Attacks

IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2022
Jun Cheng, Zheng-Guang Wu, Huai-Cheng Yan   +2 more
exaly  

Quantized Nonstationary Filtering of Networked Markov Switching RSNSs: A Multiple Hierarchical Structure Strategy

IEEE Transactions on Automatic Control, 2020
Jun Cheng, Ju H. Park, Xudong Zhao
exaly  

A Hierarchical Structure Approach to Finite-Time Filter Design for Fuzzy Markov Switching Systems With Deception Attacks

IEEE Transactions on Cybernetics, 2022
Jun Cheng, Wentao Huang, Ju H. Park
exaly