Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
We consider a vector autoregression model with exogenous variables and Markov-switching regimes to describe complex systems with cyclic changes of states. To estimate and forecast the states, we propose EM and discriminant analysis algorithms based on non-classified and classified data samples accor...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2017-04-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/670 |