Results 81 to 90 of about 112,777 (296)
Theory and Inference for a Markov-Switching GARCH Model [PDF]
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
Arie Preminger +2 more
core +3 more sources
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
doaj +1 more source
On Geometric Ergodicity of Skewed - SVCHARME models
, 2012 Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with ...
Asai +31 more
core +1 more source
Efficacy, safety and cost‐effectiveness of CAR‐T therapy
British Journal of Clinical Pharmacology, EarlyView.CAR T‐cells demonstrate high efficacy in blood cancers, including ALL, MM and DLBCL. Innovations target solid tumours despite challenges such as antigen escape. Combination therapies enhance the delivery and infiltration of CAR T cells. Toxicity, cost and resistance remain major barriers to clinical use.
Emina Karahmet Sher +7 more
wiley +1 more source
A hidden Markov model and reinforcement learning‐based strategy for fault‐tolerant control
The Canadian Journal of Chemical Engineering, EarlyView.Abstract This study introduces a data‐driven control strategy integrating hidden Markov models (HMM) and reinforcement learning (RL) to achieve resilient, fault‐tolerant operation against persistent disturbances in nonlinear chemical processes. Called hidden Markov model and reinforcement learning (HMMRL), this strategy is evaluated in two case studies
Tamera Leitao +2 more
wiley +1 more source
Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Has the G7 business cycle become more synchronized ? [PDF]
This paper adopts Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent Markov Switching negative shock and domestic idiosyncratic components.
Jae Ho, Yoon
core
The impact of inflation uncertainty on economic growth: a MRS-IV approach [PDF]
, 2012 We empirically investigate inflation uncertainty effects on output growth for the US by implementing a Markov regime switching model as we account for endogeneity problems. We show that inflation uncertainty -obtained from a Markov regime switching GARCH
Caglayan, M. +2 more
core
Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, EarlyView.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source
Exchange Rates and Markov Switching Dynamics [PDF]
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of ...
Ulf G. Erlandsson, Yin-Wong Cheung
core