Results 71 to 80 of about 111,800 (195)

Convergence of stochastic process with Markov switching [PDF]

Математичні Студії, 2012
It has been established sufficient conditions for the convergence of a multi-dimensional stochastic process in the case of dependence of the regression function on the environment, which is described by Markov switchings.
O. I. Kiykovska, Ya. M. Chabanyuk
doaj  

The Spectral Representation of Markov-Switching Arma Models [PDF]

In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models.
Beatrice Pataracchia
core  

Markov-Switching Model Selection Using Kullback-Leibler Divergence [PDF]

In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously.
Naik, Prasad A., Smith, Aaron D., Tsai, Chih-Ling   +2 more
core   +1 more source

Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination [PDF]

Romanian Economic Journal, 2019
The study employs the Markov switching regression to examine the dynamic effects of crude oil price movements on sector returns in Saudi Arabia, the United Arab Emirates, China and India given the impact of the global factor. The evidence from the Markov
Isah Wada
doaj  

Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices [PDF]

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices.
Kosater, Peter, Mosler, Karl
core  

Explicit-Duration Markov Switching Models [PDF]

Foundations and Trends® in Machine Learning, 2014
Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain.
openaire   +2 more sources

Estimating the risk of SARS-CoV-2 deaths using a Markov switching-volatility model combined with heavy-tailed distributions for South Africa. [PDF]

BMC Public Health, 2022
Mthethwa N, Chifurira R, Chinhamu K.
europepmc   +2 more sources

On the equivalence of stochastic stability and exponentially stability in l.i.m. for stochastic dynamic system with Markov parameters and switching

Науковий вісник Ужгородського університету. Серія: Математика і інформатика, 2017
Sufficient conditions equivalent concepts of stochastic stability and exponential stability in the mean square for stochastic dynamic systems random structure with Markov switching are obtained.
T. O. Лукашів, І. В. Малик
doaj   +1 more source

Inference and forecasting phase shift regime of COVID-19 sub-lineages with a Markov-switching model. [PDF]

Microbiol Spectr, 2023
Noh E, Hong J, Yoo J, Jung J.
europepmc   +1 more source

Synchronization in Cycles of China and India During Recent Crises: A Markov Switching Analysis. [PDF]

J Quant Econ, 2023
Dua P, Tuteja D.
europepmc   +1 more source