Why Markov switching models work well: an explanation

DOI10.1142/S0218488523400160zbMATH Open1547.62965MaRDI QIDQ6535933FDOQ6535933

Authors: Woraphon Yamaka, Laxman Bokati 

Publication date: 13 March 2024

Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

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zbMATH Keywords

Markov switching modeluniversal approximation propertyeconomic processesdependence on pre-history

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Finite mixture and Markov switching models.
• Asymptotic Analyses for Complex Evolutionary Systems with Markov and Semi‐Markov Switching Using Approximation Schemes

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