Systole
发表于 2025-3-21 19:32:47
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STAT
发表于 2025-3-21 22:58:13
The Markov-Switching Vector Autoregressive Model,e fundamental assumptions constituting this class of models. The discussion of the two components of MS-VAR processes will clarify their on time invariant vector auto-regressive and Markov-chain models. Some basic stochastic properties of MS-VAR processes are presented in .. Finally, MS-VAR models a
开头
发表于 2025-3-22 03:45:00
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不法行为
发表于 2025-3-22 05:09:41
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条街道往前推
发表于 2025-3-22 10:11:27
The BLHK Filter,ilities. In the MS-VAR model the state vector .. is given a structural interpretation. Thus an inference on this unobserved variable is of interest for its own sake. However, the filtered and smoothed state probabilities provide not only information about the regime at time ., but also open the way
无法取消
发表于 2025-3-22 14:53:15
Maximum Likelihood Estimation,he maximum likelihood estimation of the parameters . of an MS-VAR model is considered. The aim of this chapter is (i.) to provide the reader with an introduction to the methodological issues of ML estimation of MS-VAR models in general, (ii.) to propose with the EM algorithm an estimation technique
畏缩
发表于 2025-3-22 19:27:02
Model Selection and Model Checking,olved questions arising in empirical investigations with MS-VAR models concern the issue of model specification. In . we discussed the asymptotic distribution of the maximum likelihood estimator of MS-VAR models. In the literature (cf. .. ) it has been . that standard asymptotic theory holds:.
Forage饲料
发表于 2025-3-22 23:07:00
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颂扬国家
发表于 2025-3-23 03:11:58
Comparative Analysis of Parameter Estimation in Particular MS-VAR Models,and its conceptional differences to the EM algorithm have been discussed. In this chapter, we will focus on the technical aspects of estimation of the VAR coefficients under the various types of restrictions..
Enteropathic
发表于 2025-3-23 06:52:53
Extensions of the Basic MS-VAR Model, system is autonomous, .. no exogenous variables enter into the system, (ii.) the regime-dependent parameters depend only on the actual regime but not on the former history, and (iii.) the hidden Markov chain is homogeneous, .. the transition probabilities are time-invariant. As we have seen in the