Estimating models based on Markov jump processes given fragmented observation series

DOI10.1007/s10182-009-0116-3zbMath1332.62283OpenAlexW2002658660MaRDI QIDQ5962989

Jörn Sass, Markus Hahn, Sylvia Frühwirth-Schnatter

Publication date: 25 February 2016

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-009-0116-3

zbMATH Keywords

hidden Markov modelregime switchingMarkov chaininferenceMarkov switching model

Mathematics Subject Classification ID

Related Items (6)

Exact and approximate hidden Markov chain filters based on discrete observations ⋮ Efficient estimation of Markov regime-switching models: an application to electricity spot prices ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model ⋮ Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use

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• Bayesian Methods for Hidden Markov Models
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Statistical Inference for Discretely Observed Markov Jump Processes

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