Search Results - subject:"Hidden-Markov model"

The relationship between market depth and liquidity fragility in the treasury market

Meldrum, Andrew; Sokolinskiy, Oleg - 2025

Persistent link: https://www.econbiz.de/10015406653

Assessing driving risk through unsupervised detection of anomalies in telematics time series data

Chan, Ian Weng; Badescu, Andrei L.; Lin, X. Sheldon - In: ASTIN bulletin : the journal of the International … 55 (2025) 2, pp. 205-241

Persistent link: https://www.econbiz.de/10015450030

Identifying risk regimes in a sectoral stock index through a multivariate hidden Markov framework

Akara Kijkarncharoensin - In: Risks : open access journal 13 (2025) 7, pp. 1-19

models to detect regime changes. To overcome this limitation, the study employs a multivariate Gaussian mixture hidden Markov … model, which enables the identification of unobservable states based on daily and intraday return patterns. These patterns …

Persistent link: https://www.econbiz.de/10015436715

Hidden-Markov models for ordinal time series

H. Weiß, Christian; Swidan, Osama - In: AStA Advances in Statistical Analysis 109 (2024) 2, pp. 217-239

A common approach for modeling categorical time series is Hidden-Markov models (HMMs), where the actual observations are assumed to depend on hidden states in their behavior and transitions. Such categorical HMMs are even applicable to nominal data but suffer from a large number of model...

Persistent link: https://www.econbiz.de/10015436497