Infinite hidden markov switching VARs with application to macroeconomic forecast
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2017.06.006
Abstract: This paper develops vector autoregressive models with infinite hidden Markov structures, motivated by the recent empirical success of hierarchical Dirichlet process mixture models in financial and macroeconomic applications. We begin by developing a new Markov… read more here.
Keywords: hidden markov; markov switching; markov; switching vars ... See more keywords
Infinite hidden markov models for multiple multivariate time series with missing data.
Sign Up to like & getrecommendations! Published in 2022 at "Biometrics"
DOI: 10.1111/biom.13715
Abstract: Exposure to air pollution is associated with increased morbidity and mortality. Recent technological advancements permit the collection of time-resolved personal exposure data. Such data are often incomplete with missing observations and exposures below the limit… read more here.
Keywords: time; infinite hidden; hidden markov; time series ... See more keywords