A hidden Markov regime-switching smooth transition model
Robert J. Elliott, Tak Kuen Siu, John W. Lau
| Year of publication: |
Sep 2018
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|---|---|
| Authors: | Elliott, Robert J. ; Siu, Tak Kuen ; Lau, John W. |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 4, p. 1-21
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| Subject: | filtering | Laplace series expansion | nonlinear time series | regime switching model | smooth transition model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0061 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011965140