Title :
Research on Markov-Switching model
Author_Institution :
Sch. of Stat., Chengdu Univ. of Inf. & Technol., Chengdu, China
Abstract :
On analyzing the basic thought of the parameter estimates of Markov switching model, and researching on the derivation of likelihood function, This paper deduces the smooth probability and the expected duration of the state variable of Markov-Switching model, so as to provide a reference for other researchers.
Keywords :
Markov processes; macroeconomics; parameter estimation; probability; Markov-switching model; likelihood function; parameter estimation; smooth probability; state variable; Analytical models; Data models; Equations; Markov processes; Mathematical model; Switches; Time series analysis; Markov-Switching model; likelihood function; smooth probability;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002578
