Markov regime switching in mean and in fractional integration parameter
Küçük Resim Yok
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Taylor & Francis Inc
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. We employ Viterbi algorithm that combines the Viterbi procedures in two state Markov-switching parameter estimation. It is well-known that existence of mean break and long memory in time series can be easily confused with each other in most cases. Thus, we aim at observing the deviation and interaction of mean and d estimates for different cases. A Monte Carlo experiment reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and d changes with respect to the fractional integrating parameters and the mean values for the two regimes.
Açıklama
Anahtar Kelimeler
Fractional İntegration, Long Memory Time Series, Markov Regime Switching, Long-Range Dependence, Stock-Market, Interest-Rates, Time-Series, Memory, Volatility, Volume
Kaynak
Communications in Statistics-Simulation and Computation
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
46
Sayı
9
