Download or read book Explicit duration Markov Switching Models written by Silvia Chiappa and published by . This book was released on 2014 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Explicit-duration MSMs contain additional variables that explicitly model the distribution of time spent in each regime. This allows to define duration distributions of any form, but also to impose complex dependence between the observations and to reset the dynamics to initial conditions. Models that focus on the first two properties are most commonly known as hidden semi-Markov models or segment models, whilst models that focus on the third property are most commonly known as changepoint models or reset models. In this monograph, we provide a description of explicit-duration modelling by categorizing the different approaches into three groups, which differ in encoding in the explicit-duration variables different information about regime change/reset boundaries. The approaches are described using the formalism of graphical models, which allows to graphically represent and assess statistical dependence and therefore to easily describe the structure of complex models and derive inference routines. The presentation is intended to be pedagogical, focusing on providing a characterization of the three groups in terms of model structure constraints and inference properties. The monograph is supplemented with a software package that contains most of the models and examples described. The material presented should be useful to both researchers wishing to learn about these models and researchers wishing to develop them further.

Download or read book Explicit Duration Markov Switching Models written by Silvia Chiappa and published by Now Pub. This book was released on 2014-12-19 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple and clear description of explicit duration modeling. The presentation focuses on making distinctions that help structure the space of models and in laying out inference and learning in a clear way. It is an ideal reference for students and researchers wishing to learn about these models and those looking to develop them further.

Download or read book Time Varying Transition Probabilities for Markov Regime Switching Models written by Marco Bazzi and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new Markov switching model with time-varying transitions probabilities. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time-varying probability is generated by the score of the predictive likelihood function. We show how the model dynamics can be readily interpreted. We investigate the performance of the model in a Monte Carlo study and show that the model is successful in estimating a range of different dynamic patterns for unobserved regime switching probabilities. We also illustrate the new methodology in an empirical setting by studying the dynamic mean and variance behaviour of US industrial production growth.

Download or read book Analytical Derivatives for Markov Switching Models written by Jeff Gable and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Synchronization of Markov Chains in Multivariate Regime Switching Models written by Raphael Vial and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate regime-switching presents an efficient way of jointly modeling the cyclical behavior of financial time series. Standard regime-switching models thereby a priori determine the relationship between the regime-switches of individual assets. These switches are usually assumed to be either perfectly synchronized or fully independent. However, neither assumption seems realistic in practice. This thesis develops a multivariate Markov regime-switching model to infer the actual degree of synchronization from the underlying data. This flexible model allows subgroups of assets to be driven by individual Markov chains. At the same time, these Markov chains underlie a dynamically changing degree of synchronization. In comparison to most existing solutions, this model is not restricted to bivariate analysis. To keep the model traceable, a novel factorization algorithm for the regime-dependent correlation matrix is formulated. This algorithm scales down the increase in parameters and presents an efficient way of ensuring positive semi-definite correlation matrices. The structure of the flexible regime-switching model is motivated by the initial synchronization analysis conducted in this thesis. The analysis of univariate regime-switching results shows that neither perfectly synchronized nor fully independent regime cycles are empirically observable. The synchronization of regime cycles tends to dynamically change over time. Some assets, however, might show more contemporaneous switching dynamics and can therefore be governed by a joint regime process. The empirical results for a sample of six international equity markets confirm the assumptions underlying this thesis. The flexible model reveals a stable synchronization factor, marked by one particular change in synchronization. The estimated parameters of this model closely cover the individual dynamics of their underlying assets and confirm the model's validity. Moreover, in some.

Download or read book Time Varying Transition Probabilities for Markov Regime Switching Models written by Marco Bazzi and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the predictive likelihood function. We show how the model dynamics can be readily interpreted. We investigate the performance of the model in a Monte Carlo study and show that the model is successful in estimating a range of different dynamic patterns for unobserved regime switching probabilities. We also illustrate the new methodology in an empirical setting by studying the dynamic mean and variance behavior of U.S. Industrial Production growth. We find empirical evidence of changes in the regime switching probabilities, with more persistence for high volatility regimes in the earlier part of the sample, and more persistence for low volatility regimes in the later part of the sample.

Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2017-12-19 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data

Download or read book Model Selection and Some Extensions of Markov Switching Models written by Jing Zhang and published by . This book was released on 1998 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer Science & Business Media. This book was released on 2006-11-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.

Download or read book Exact Solutions for the Transient Densities of Continuous Time Markov Switching Models written by Thomas Lux and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Basic Recursion for Markov Switching Models written by Lung-Fei Lee and published by . This book was released on 1995 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling and Estimation of Synchronization in Multistate Markov switching Models written by Cem Cakmakli and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Incorporating Vintage Differences and Forecasts Into Markov Switching Models written by Jeremy Nalewaik and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Possible Shapes of Recoveries in Markov switching Models written by Frédérique Bec and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book How Well Do Markov Switching Models Describe Actual Business Cycles written by Penelope A. Smith and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hidden Markov and Other Models for Discrete valued Time Series written by Iain L. MacDonald and published by CRC Press. This book was released on 1997-01-01 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discrete-valued time series are common in practice, but methods for their analysis are not well-known. In recent years, methods have been developed which are specifically designed for the analysis of discrete-valued time series. Hidden Markov and Other Models for Discrete-Valued Time Series introduces a new, versatile, and computationally tractable class of models, the "hidden Markov" models. It presents a detailed account of these models, then applies them to data from a wide range of diverse subject areas, including medicine, climatology, and geophysics. This book will be invaluable to researchers and postgraduate and senior undergraduate students in statistics. Researchers and applied statisticians who analyze time series data in medicine, animal behavior, hydrology, and sociology will also find this information useful.

Download or read book Modeling and Estimation of Synchronisation in Multistate Markov switching Models written by Çem Cakmakli and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: