Öller, Lars-Erik; Koskinen, Lasse - In: Journal of Forecasting 23 (2004) 3, pp. 197-214
A Hidden Markov Model (HMM) is used to classify an out-of-sample observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. Instead of estimating past turning points using maximum...