Efficient estimation of Markov regime-switching models: an application to electricity spot prices

DOI10.1007/s10182-011-0181-2zbMath1443.62471OpenAlexW2077417917MaRDI QIDQ1633253

Rafał Weron, Joanna Janczura

Publication date: 19 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-011-0181-2

zbMATH Keywords

EM algorithmMarkov regime-switchingelectricity spot priceenergy economicsindependent regimes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (13)

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