Janczura, Joanna; Weron, Rafał - In: AStA Advances in Statistical Analysis 96 (2012) 3, pp. 385-407
In this paper we discuss the calibration of models built on mean-reverting processes combined with Markov regime-switching (MRS). We propose a method that greatly reduces the computational burden induced by the introduction of independent regimes and perform a simulation study to test its...