Hidden Markov experts

MaRDI QIDQ2725575zbMATH OpenFDO

Authors Andreas S. Weigend, Shanming Shi

Publication date 12 July 2001

zbMATH Keywords

computational financeconditional distributiondensity evaluationdensity predictionforecastinggated expertshidden Markov expertshidden Markov modelsmixture modelsmodel comparisonrisk managementtime series analysis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(3)

• Kernel-based hidden Markov conditional densities
• Time series mixtures of generalized t experts: ML estimation and an application to stock return density forecasting
• scientific article; zbMATH DE number 1304935 (Why is no real title available?)

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