Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models

DOI10.1007/s10614-009-9181-7zbMath1176.91127OpenAlexW2059305548MaRDI QIDQ1037440

Mohamed Saidane, Christian Lavergne

Publication date: 16 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9181-7

zbMATH Keywords

HMMEM algorithmconditional heteroskedasticityforecastinglatent factor modelstime series segmentation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

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