Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model
Year of publication: |
2011-04-15
|
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Authors: | Song, Yong |
Institutions: | University of Toronto, Department of Economics |
Subject: | hidden Markov model | Bayesian nonparametrics | Dirchlet process |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 49 pages |
Classification: | C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; C11 - Bayesian Analysis |
Source: |
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