Results 21 to 30 of about 14,010 (266)
Efficient estimation of Markov-switching model with application in stock price classification [PDF]
Mathematics and Modeling in Finance, 2021 In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation
Farshid Mehrdoust +2 more
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Control problem for the impulse process under stochastic optimization procedure and Levy conditions
Математичні Студії, 2021 A stochastic approximation procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and impulse perturbation under Levy approximation conditions with control, which is
Ya. M. Chabanyuk +2 more
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Prediction of PM2.5 pollution in Tehran air based on temperature and pressure using Markovian regime-switching non-parametric additive transitive regression model [PDF]
ریاضی و جامعه, 2023 In this paper, we introduce the Markovian regime-switching regression model, which is a graphical model based on the hidden Markov model. This model can be viewed as a clustered regression model, in which a Markov process models the transition from one ...
Morteza Amini
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Markov-Switching Quantile Autoregression [PDF]
SSRN Electronic Journal, 2014 This paper considers the location‐scale quantile autoregression in which the location and scale parameters are subject to regime shifts. The regime changes in lower and upper tails are determined by the outcome of a latent, discrete‐state Markov process.
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Stability of reaction–diffusion systems with stochastic switching
Nonlinear Analysis, 2019 In this paper, we investigate the stability for reaction systems with stochastic switching. Two types of switched models are considered: (i) Markov switching and (ii) independent and identically distributed switching.
Lijun Pan, Jinde Cao, Ahmed Alsaedi
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Mathematics, 2022 This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over the flexible exchange rates period from 1973 to 2004.
Michael Frömmel +2 more
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Markov-switching generalized additive models [PDF]
Statistics and Computing, 2015 We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain. Building on the powerful hidden Markov model machinery and the methods for penalized B-splines routinely used in ...
Roland Langrock +3 more
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Frontiers in Energy Research, 2021 The rapid development of wind energy has brought a lot of uncertainty to the power system. The accurate ultra-short-term wind power prediction is the key issue to ensure the stable and economical operation of the power system.
Hang Fan +3 more
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IEEE Access, 2019 This paper investigates the H∞ consensus of linear multi-agent systems with semi-Markov switching network topologies and measurement noises. The information that each agent measures its neighbors's has multiplicative noises.
Meiyan Cong, Xiaowu Mu
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Adding flexibility to Markov Switching models [PDF]
Statistical Modelling, 2016 Abstract: Very often time series are subject to abrupt changes in the level, which are generally represented by Markov Switching (MS) models, assuming that the level is constant within a certain state (regime). This is not a realistic framework because in the same regime the level could change with minor jumps with respect to a change
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