On robust estimation of hidden semi-Markov regime-switching models
From MaRDI portal
Publication:6588519
DOI10.1007/s10479-024-05989-4MaRDI QIDQ6588519
Yuehua Wu, Shanshan Qin, Zhenni Tan
Publication date: 15 August 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Inference from stochastic processes (62Mxx)
Cites Work
- Unnamed Item
- Robust fitting of mixture regression models
- Hidden Markov models with arbitrary state dwell-time distributions
- Threshold models in non-linear time series analysis
- Hidden semi-Markov-switching quantile regression for time series
- hsmm -- an R package for analyzing hidden semi-Markov models
- Hidden semi-Markov models
- Stylized facts of financial time series and hidden semi-Markov models
- A Markov model for switching regressions
- General matching quantiles M-estimation
- Regime switching model estimation: spectral clustering hidden Markov model
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Complex Systems in Finance and Econometrics
- A segmented generalized Markov regime-switching model with its application in financial time series data
- A segmented regime-switching model with its application to stock market indices
- Robust fitting of hidden Markov regression models under a longitudinal setting
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- A Regime-Switching Model of Long-Term Stock Returns
- Hidden Markov Models for Time Series
- Initialization of Hidden Markov and Semi‐Markov Models: A Critical Evaluation of Several Strategies
- Estimating finite mixtures of semi-Markov chains: an application to the segmentation of temporal sensory data
This page was built for publication: On robust estimation of hidden semi-Markov regime-switching models
