Markov Switching for Position Dependent Random Maps with Application to Forecasting
DOI10.1137/040604042zbMath1090.37040OpenAlexW2155870008MaRDI QIDQ5700599
Wael Bahsoun, Góra, Paweł, Boyarski, Abraham
Publication date: 28 October 2005
Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/040604042
absolutely continuous invariant measureFrobenius-Perron operatorMarkov switchingrandom mapforecasting in financial markets
Dynamical aspects of measure-preserving transformations (37A05) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Ergodic theorems, spectral theory, Markov operators (37A30) Operations research and management science (90B99) Dynamical systems in optimization and economics (37N40) Dynamical systems involving maps of the interval (37E05) Random dynamical systems (37H99)
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