A hidden Markov regime-switching smooth transition model

DOI10.1515/snde-2016-0061OpenAlexW2810067254MaRDI QIDQ2691768

John W. Lau, Tak Kuen Siu, Robert J. Elliott

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0061

zbMATH Keywords

filteringnonlinear time seriesregime switching modelLaplace series expansionsmooth transition model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) 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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Kernel-based hidden Markov conditional densities

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