Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables

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...

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Main Authors: Vladimir Malugin, Alexander Novopoltsev
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
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spelling doaj-cbf5c9c7f5d64ef9af80f2f8bda650522021-04-22T12:32:23ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2017-04-01463-410.17713/ajs.v46i3-4.670Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous VariablesVladimir Malugin0Alexander Novopoltsev1Belarusian State UniversityBelarusian State UniversityWe 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 accordingly. The accuracy of the algorithms is examined by means of computer simulation experiments.http://www.ajs.or.at/index.php/ajs/article/view/670
collection DOAJ
language English
format Article
sources DOAJ
author Vladimir Malugin
Alexander Novopoltsev
spellingShingle Vladimir Malugin
Alexander Novopoltsev
Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
Austrian Journal of Statistics
author_facet Vladimir Malugin
Alexander Novopoltsev
author_sort Vladimir Malugin
title Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
title_short Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
title_full Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
title_fullStr Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
title_full_unstemmed Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables
title_sort statistical estimation and classification algorithms for regime-switching var model with exogenous variables
publisher Austrian Statistical Society
series Austrian Journal of Statistics
issn 1026-597X
publishDate 2017-04-01
description 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 accordingly. The accuracy of the algorithms is examined by means of computer simulation experiments.
url http://www.ajs.or.at/index.php/ajs/article/view/670
work_keys_str_mv AT vladimirmalugin statisticalestimationandclassificationalgorithmsforregimeswitchingvarmodelwithexogenousvariables
AT alexandernovopoltsev statisticalestimationandclassificationalgorithmsforregimeswitchingvarmodelwithexogenousvariables
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