Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Maciej Augustyniak, Arnaud Dufays
| Year of publication: |
2018
|
|---|---|
| Authors: | Augustyniak, Maciej ; Dufays, Arnaud |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 170.2018, p. 122-126
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| Subject: | Conditional mean model | Factorial hidden Markov model | Markov-switching | Multifractal | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2018.06.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012019659