Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models
| Year of publication: |
2009
|
|---|---|
| Authors: | Saidane, Mohamed ; Lavergne, Christian |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 34.2009, 4, p. 323-364
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Latent factor models | EM algorithm | Conditional heteroskedasticity | HMM | Time series segmentation | Forecasting |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008531536