A dynamic programming approach to the estimation of markov switching regression models

DOI10.1080/00949659308811472MaRDI QIDQ4851420zbMATH OpenOpenAlexFDO

Authors In-Moo Kim

Publication date 8 November 1999

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659308811472

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of mathematical programming (90C90)

Cites work

• A Markov model for switching regressions
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Further results on optimal decoding of convolutional codes (Corresp.)
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time-series segmentation: A model and a method

This page was built for publication: A dynamic programming approach to the estimation of markov switching regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4851420)