Preminger, Arie; Ben-zion, Uri; Wettstein, David - In: Journal of Forecasting 26 (2007) 7, pp. 457-473
In this paper we extend the widely followed approach of switching regression models, i.e. models in which the parameters are determined by a latent discrete state variable. We construct a model with several latent state variables, where the model parameters are partitioned into disjoint groups,...
