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Research on Markov-Switching model
2011 International Conference on Multimedia Technology, 2011On analyzing the basic thought of the parameter estimates of Markov switching model, and researching on the derivation of likelihood function, This paper deduces the smooth probability and the expected duration of the state variable of Markov-Switching model, so as to provide a reference for other researchers.
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Markov Switching Time Series Models
2012Abstract 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.
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Spectral density of Markov-switching VARMA models
Economics Letters, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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.
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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
Optimal preventive maintenance policy of the balanced system under the semi-Markov model
Reliability Engineering and System Safety, 2021Jingjing Wang
exaly