Search Results - subject:"Viterbi algorithm"

Bellman filtering for state-space models

Lange, Rutger Jan - 2021

This article presents a filter for state-space models based on Bellman's dynamic programming principle applied to the mode estimator. The proposed Bellman filter (BF) generalises the Kalman filter (KF) including its extended and iterated versions, while remaining equally inexpensive...

Persistent link: https://www.econbiz.de/10012427152

Ukryte modele Markowa w analizie wyników testu koniunktury gospodarczej [Hidden Markov Models in Analysis of Results of Business Tendency Surveys]

Bernardelli, Michał; Dędys, Monika - In: Prace i Materiały 90 (2012) 3, pp. 159-181

considers the possibility of using the Viterbi algorithm to analyse results of the RIED WSE business surveys in the …

Persistent link: https://www.econbiz.de/10010750345

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10010274125

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

: Markov chain; ARFIMA process; Viterbi algorithm; Long memory JEL classification: C14, C22, C32, C52, C53, G12 ∗This research … combine the Durbin-Levinson algorithm and the Viterbi algorithm to suggest a Durbin-Levinson-Viterbi (DLV) algorithm for the … model in (5). When compared to the original Viterbi algorithm designed for solving the problem of maximum a posteri- ori …

Persistent link: https://www.econbiz.de/10005678044