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Regularization in Regime-Switching Gaussian Autoregressive Models
Advanced Statistical Methods in Data Science - ICSA Book Series in Statistics
◽
10.1007/978-981-10-2594-5_2
◽
2016
◽
pp. 13-34
Author(s):
Abbas Khalili
◽
Jiahua Chen
◽
David A. Stephens
Keyword(s):
Regime Switching
◽
Autoregressive Models
Download Full-text
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Marco Gross
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Regime Switching
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Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
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Testing for observation-dependent regime switching in mixture autoregressive models
Journal of Econometrics
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10.1016/j.jeconom.2020.04.048
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Author(s):
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◽
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TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS
Applications of Artificial Intelligence in Finance and Economics - Advances in Econometrics
◽
10.1016/s0731-9053(04)19003-8
◽
2004
◽
pp. 71-91
◽
Cited By ~ 8
Author(s):
Jane M. Binner
◽
Thomas Elger
◽
Birger Nilsson
◽
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Keyword(s):
Neural Networks
◽
Time Series
◽
Recurrent Neural Networks
◽
Regime Switching
◽
Linear Time
◽
Time Series Forecasting
◽
Autoregressive Models
◽
Empirical Comparison
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Vector Autoregressive Models
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Ultrasonic Reflector Classification with Autoregressive Models
Research in Nondestructive Evaluation
◽
10.1080/09349848908968214
◽
1989
◽
Vol 1
(1)
◽
pp. 235-246
Author(s):
J. Richard Houghton
◽
Peitao Shen
Keyword(s):
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Reciprocal relation between health and academic performance in children through autoregressive models.
School Psychology
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◽
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Regime switching in yield structures and forecasting securitised real estate returns
10.15396/eres2003_194
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Real Estate
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Cortico-Cortical Connectivity Decreased in Depression during Emotion Processing: Coherence Analysis by Multivariate Autoregressive Models
ACTA BIOPHYSICA SINICA
◽
10.3724/sp.j.1260.2013.20161
◽
2013
◽
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◽
pp. 133
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Zhenzhu XU
◽
Ling WEI
◽
Manfang MA
◽
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Keyword(s):
Emotion Processing
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Coherence Analysis
◽
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Research of market interest rates of the SHIBOR based on regime switching model
JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING
◽
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2015
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◽
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Cited By ~ 1
Author(s):
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◽
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Interest Rates
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A combined regime-switching and Black–Litterman model for optimal asset allocation
The Journal of Investment Strategies
◽
10.21314/jois.2015.052
◽
2015
◽
Vol 4
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◽
pp. 1-36
Author(s):
Edwin O. Fischer
◽
Michael Murg
Keyword(s):
Asset Allocation
◽
Regime Switching
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