Discovering macroeconomic phases using statistical methods.

• Main Author: Wong, Jian Cheng.
• Other Authors: Lian Heng
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Science::Mathematics::Statistics
• Online Access: http://hdl.handle.net/10356/14733
• Institution: Nanyang Technological University

Economies and financial markets are complex system which can exist in different macroeconomic phases. To build predictive models, we need to know how many such phases there are, and what their statistical properties are. In this report, a recursive segmentation scheme based on the Jensen-Shannon div...