DocumentCode
2630493
Title
Markov-switching regime for time series prediction
Author
Chin, T.C. ; Ang, J. ; Seah, N.S. ; Mital, D.P. ; Chua, H.C.
Author_Institution
Sch. of Electr. & Electron. Eng., Nanyang Technol. Univ., Singapore
Volume
2
fYear
2000
fDate
2000
Firstpage
470
Abstract
We describe in this paper an approach of time series prediction using the Markov switching model to detect changes in the regime. The procedure is based on the inference of unobserved state and the estimation of model parameters. Emphasis is placed on the formulation and specification of the model. The proposed model fits well in-sample and it is able to detect the changes in the regime. A simple illustrative example is described
Keywords
Markov processes; forecasting theory; parameter estimation; time series; Markov switching model; inference; model parameter estimation; time series prediction; unobserved state; Economic forecasting; Frequency measurement; Paper technology; Parameter estimation; Particle measurements; Predictive models; State estimation; Stochastic processes; Switches; Time measurement;
fLanguage
English
Publisher
ieee
Conference_Titel
Knowledge-Based Intelligent Engineering Systems and Allied Technologies, 2000. Proceedings. Fourth International Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-6400-7
Type
conf
DOI
10.1109/KES.2000.884091
Filename
884091
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