Testing for the number of states in hidden Markov models

DOI10.1016/j.csda.2014.06.012zbMath1466.62099OpenAlexW1967536491MaRDI QIDQ1659122

Florian Schwaiger, Hajo Holzmann

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.06.012

zbMATH Keywords

hypothesis testinghidden Markov modelsfinancial time seriesfinite mixturesvolatility states

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

On finite mixture models ⋮ Testing for the number of states in hidden Markov models ⋮ Change point dynamics for financial data: an indexed Markov chain approach

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