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Switching Nonparametric Regression Models and the Motorcycle Data revisited
nonparametric regression machine learning mixture of Gaussian processes latent variables EM algorithm motorcy-cle data
2013/6/14
We propose a methodology to analyze data arising from a curve that, over its domain, switches among J states. We consider a sequence of response variables, where each response y depends on a covariate...
Markov Switching Component ARCH Model: Stability and Forecasting
ARCH models Markov process Stability Component GARCH models Forecasting Bayesian inference Griddy Gibbs sampling
2013/4/28
This paper introduces an extension of the Markov switching ARCH model where the volatility in each state is a convex combination of two different ARCH components with time varying weights with differe...
Inverse Modeling of Dynamical Systems: Multi-Dimensional Extensions of a Stochastic Switching Problem
Inverse Modeling of Dynamical Systems Multi-Dimensional Extensions Stochastic Switching Problem
2012/9/18
The Buridan's ass paradox is characterized by perpetual indecision between two states, which are never attained. When this problem is formulated as a dynamical
system, indecision is modeled by a disc...
Two switching multiple disorder problems for Brownian motions
Multiple disorder problem optimal switching problem Brownian motion
2010/11/8
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability ...
Parameter Estimation in Continuous Time Markov Switching Models: A Semi-Continuous Markov Chain Monte Carlo Approach
Bayesian inference data augmentation hidden Markov model
2009/9/24
In this paper,we combine useful aspects of both approaches.On the one hand,we are inspired by the discretization, where filtering for the state process is possible,on the other hand,we
catch attracti...
A BAYESIAN ANALYSIS OF ENDOGENOUS SWITCHING MODELS FOR COUNT DATA
Bivariatet distribution Count data Endogenous switching Markov chain Monte Carlo Poisson model Unobserved heterogeneity
2009/3/11
This paper considers the count model with endogenous switching proposed by Terza (1998) from a Bayesian point of view. We consider Markov chain Monte Carlo methods to estimate the parameters of the mo...
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES：THE SIMULTANEOUS SWITCHING ARIMA APPROACH
Asymmetrical Volatility Stock Prices Simultaneous Switching AR Model Conditional Heteroskedasticity Daily Effect
2009/3/11
Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect in...
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
marginal likelihood Markov-chain Monte Carlo Markov switching particle filter stochastic volatility TOPIX
2009/3/9
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based...
Markov switching models：an application to roadway safety
Markov switching models application roadway safety
2010/4/30
Malyshkina, Nataliya V. Ph.D., Purdue University, December 2008. Markov SwitchingModels:
an Application to Roadway Safety. Major Professors: Fred L.Mannering
and Andrew P. Tarko.
In this research, ...