Markov-switching model selection using Kullback-Leibler divergence
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Cites work
- A constrained formulation of maximum-likelihood estimation for normal mixture distributions
- A Mathematical Theory of Communication
- 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
- Adaptive Regression by Mixing
- Analysis of time series subject to changes in regime
- Approximate Bayes factors and accounting for model uncertainty in generalised linear models
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Autoregressive conditional heteroskedasticity and changes in regime
- Bayes Factors
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Biological Sequence Analysis
- Consistent estimation of a mixing distribution
- Dynamic linear models with Markov-switching
- Dynamic Optimal Control Models in Advertising: Recent Developments
- Finite mixture models
- Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
- Frequentist Model Average Estimators
- Geometric equivalence of groups.
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- scientific article; zbMATH DE number 3340881 (Why is no real title available?)
- Information Criteria for Discriminating Among Alternative Regression Models
- Information criteria for selecting possibly misspecified parametric models
- Information processing and Bayesian analysis.
- Locally-weighted regression: an approach to regression analysis by local fitting
- Model Selection and Multimodel Inference
- On Information and Sufficiency
- ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
- Regression and time series model selection in small samples
- Semiparametric methods in econometrics
- Single-index model selections
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Statistical theory in clustering
- THE DISTRIBUTION OF THE NUMBER OF SUCCESSES IN A SEQUENCE OF DEPENDENT TRIALS
Cited in
(21)- Penalized estimate of the number of states in Gaussian linear AR with Markov regime
- Variable prioritization in nonlinear black box methods: a genetic association case study
- A note on Phillips (1991): ``A constrained maximum likelihood approach to estimating switching regressions
- Information criteria for nonlinear time series models
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing
- A transitional Markov switching autoregressive model
- Decomposition of a state-space model with inputs
- Markov Chain Model Selection by Misclassified Model Probabilities
- A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
- On joint determination of the number of states and the number of variables in Markov-switching models: a Monte Carlo study
- Mortality regimes and longevity risk in a life annuity portfolio
- Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
- Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
- Consistent estimation of the number of regimes in Markov-switching autoregressive models
- Markov-switching generalized additive models
- Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
- Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
- A simple approach for local and global variable importance in nonlinear regression models
- Markov-Switching Three-Pass Regression Filter
- On using fuzzy clustering for detecting the number of states in Markov switching models
- An extensive study on Markov switching models with endogenous regressors
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