Cogent Economics & Finance, 2020 This paper investigates the impact of financial development on economic growth in Pakistan using the Markov Switching Model over the period 1980–2017. The results based on two-state Markov switching model confirm the Schumpeter’s view that finance spurs ...
Abdul Rahman +2 more
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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. +2 more
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Optimal monetary policy with a regime-switching exchange rate in a forward-looking model [PDF]
We evaluate the macroeconomic performance of different monetary policy rules when there is exchange rate uncertainty. We do this in the context of a non-linear rational expectations model.
Fernando Alexandre +2 more
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
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
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
Fault detection filter design for Markov jump systems with persistent dwell-time
AIMS MathematicsThis paper addresses the problem of fault detection (FD) for Markov jump systems (MJSs) with time-varying delays. The jumping property presented by system modes is described by the Markov chain and the transition probabilities of the Markov chain are ...
Zheng-Jin Zhang, Bin-Bin Gan
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Journal of Mathematics, 2014 We adopt a regime switching approach to study concrete financial time series with particular emphasis on their volatility characteristics considered in a space-time setting.
Luca Di Persio, Samuele Vettori
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Synchronization in Cycles of China and India During Recent Crises: A Markov Switching Analysis. [PDF]
J Quant Econ, 2023 Dua P, Tuteja D.
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