Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series

DOI10.4310/SII.2019.V12.N2.A3WikidataQ128239554 ScholiaQ128239554MaRDI QIDQ667485

Kang He, Mian Huang, Yue Huang

Publication date: 13 March 2019

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

EM algorithmhidden Markov modelkernel regressiongeneralized likelihood ratio testnonhomogeneous transition matrix

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Markov processes (60J99)

This page was built for publication: Estimation and testing nonhomogeneity of hidden Markov model with application in financial time series