Estimating Variance of parameters by Supplemented Expectation Maximization Algorithm and Gibbs Sampling in Regime-Switching Model with Jump Risks
碩士 === 國立高雄大學 === 統計學研究所 === 97 === Hamilton (1989) proposed Markov switching model, which is based on Markov chain to describe the situation of state switching in different economy circumstances. However, taking into account that the stock price will occur abnormal jumps due to the impact of unexpe...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/jcf37v |