• DocumentCode
    2396397
  • Title

    An EM algorithm for switching regression with three regimes

  • Author

    Chen, Dengta ; Du, Yajun

  • Author_Institution
    Wang Yanan Inst. for Study of Econ., Xiamen Univ., Xiamen, China
  • fYear
    2012
  • fDate
    19-20 May 2012
  • Firstpage
    2221
  • Lastpage
    2223
  • Abstract
    We extend [2]´s switching regression model from two regimes to three regimes, and propose a simple EM algorithm to facilitate the estimation. Monte Carlo simulations show that this EM algorithm is highly efficient.
  • Keywords
    Monte Carlo methods; expectation-maximisation algorithm; regression analysis; EM algorithm; Monte Carlo simulations; switching regression model; Economics; Gaussian distribution; Maximum likelihood estimation; Monte Carlo methods; Standards; Switches;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Systems and Informatics (ICSAI), 2012 International Conference on
  • Conference_Location
    Yantai
  • Print_ISBN
    978-1-4673-0198-5
  • Type

    conf

  • DOI
    10.1109/ICSAI.2012.6223493
  • Filename
    6223493
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2396397