A dynamic programming approach to the estimation of markov switching regression models

DOI10.1080/00949659308811472zbMath0925.62358OpenAlexW2024538940MaRDI QIDQ4851420

In-Moo Kim

Publication date: 8 November 1999

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659308811472

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of mathematical programming (90C90)

Cites Work

• Time-series segmentation: A model and a method
• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Further results on optimal decoding of convolutional codes (Corresp.)
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

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