A hidden Markov regime-switching smooth transition model
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Publication:2691768
DOI10.1515/snde-2016-0061OpenAlexW2810067254MaRDI QIDQ2691768
John W. Lau, Tak Kuen Siu, Robert J. Elliott
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2016-0061
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)
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