Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series

DOI10.4310/SII.2019.V12.N2.A3WikidataQ128239554 ScholiaQ128239554MaRDI QIDQ667485FDOQ667485

Authors: Mian Huang, Yue Huang, Kang He 

Publication date: 13 March 2019

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

EM algorithmkernel regressionhidden Markov modelgeneralized likelihood ratio testnonhomogeneous transition matrix

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Markov processes (60J99)

Cited In (1)

• Conditionally heteroscedastic factorial HMMs for time series in finance

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