Markov-switching generalized additive models

DOI10.1007/s11222-015-9620-3zbMath1505.62239arXiv1406.3774OpenAlexW2211250037WikidataQ59602733 ScholiaQ59602733MaRDI QIDQ517407

Théo Michelot, Richard Glennie, Thomas Kneib, Roland Langrock

Publication date: 23 March 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.3774

zbMATH Keywords

hidden Markov modelP-splinespenalized likelihoodtime series regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Generalized linear models (logistic models) (62J12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Switching Regression Models and Causal Inference in the Presence of Discrete Latent Variables ⋮ Unnamed Item ⋮ Spline‐based nonparametric inference in general state‐switching models ⋮ Bettors' reaction to match dynamics: evidence from in-game betting ⋮ A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models ⋮ Segmentation of mortality surfaces by hidden Markov models ⋮ Maximum penalized likelihood estimation in semiparametric mark-recapture-recovery models ⋮ A primer on coupled state-switching models for multiple interacting time series

Uses Software

• GAMLSS
• gamair
• ConfBands
• bootstrap
• MSwM

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation of Markov regime-switching regression models with endogenous switching
• Markov-switching model selection using Kullback-Leibler divergence
• Hidden Markov models with arbitrary state dwell-time distributions
• Selecting hidden Markov model state number with cross-validated likelihood
• A Markov model for switching regressions
• A practical guide to splines
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Finite mixture and Markov switching models.
• Inference in finite state space non parametric hidden Markov models and applications
• Switching nonparametric regression models
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• Nonparametric inference in hidden Markov models using P‐splines
• A modular system of algorithms for unconstrained minimization
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Regression
• Markov Poisson regression models for discrete time series. Part 1: Methodology
• Numerical Maximisation of Likelihood: A Neglected Alternative to EM?
• Simultaneous Confidence Bands for Penalized Spline Estimators
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Generalized Additive Models for Location, Scale and Shape
• Hidden Markov Models for Time Series

This page was built for publication: Markov-switching generalized additive models