State space Markov switching models using wavelets

DOI10.1515/SNDE-2012-0020MaRDI QIDQ5881689zbMATH OpenOpenAlexWikidataFDO

Authors Airlane P. Alencar, Clélia M. C. Toloi, Pedro A. Morettin

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0020

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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Cited in

(10)

• Markov-switching state-space models with applications to neuroimaging
• Regime switching model estimation: spectral clustering hidden Markov model
• Wavelet improvement in turning point detection using a hidden Markov model: from the aspects of cyclical identification and outlier correction
• scientific article; zbMATH DE number 1302950 (Why is no real title available?)
• Wavelets in state space models
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• Wavelet estimation of state space models
• Time-varying transition probabilities for Markov regime switching models
• scientific article; zbMATH DE number 2219571 (Why is no real title available?)

Describes a project that uses

Uses Software

• Ox
• astsa

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