Time‐Varying Transition Probabilities for Markov Regime Switching Models
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Publication:5346584
DOI10.1111/jtsa.12211zbMath1369.62211OpenAlexW3121709681MaRDI QIDQ5346584
Francisco Blasques, Siem Jan Koopman, André Lucas, Marco Bazzi
Publication date: 26 May 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://research.vu.nl/en/publications/178a00db-5072-4b14-9cf8-1d5b3076e976
Computational methods in Markov chains (60J22) Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05)
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