State space modeling of switching time series
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We introduce a model with stochastically switching modes and propose statistical methods based on non-Gaussian state-space modeling. Although we take hormonal time series data as an example, this approach has a wide range of applicability, not only for hormonal data or time series with pulses, but also for time series with stochastically switching modes. For the entire collection see [Zbl 0907.00020].
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