Estimating Variance of Parameter Estimators by Supplemented Expectation Maximization and Gibbs Sampling Algorithm in Regime-Switching Jump Model
碩士 === 國立高雄大學 === 統計學研究所 === 97 === Fuh and Lin (2004) proposed a Markov-switching jump model in which economic states are assumed to describe the possibly different arrival rates of the information. In this research, we investigate the model in two states setting, the so called regime-switching jum...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99s839 |