Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series (Q667485)
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scientific article; zbMATH DE number 7035337
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series |
scientific article; zbMATH DE number 7035337 |
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Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series (English)
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13 March 2019
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hidden Markov model
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nonhomogeneous transition matrix
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generalized likelihood ratio test
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kernel regression
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EM algorithm
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