A Markov-Switching Model with Mixture Distribution Regimes

© 2018, Springer International Publishing AG, part of Springer Nature. This study proposes the mixture Markov-switching autoregressive model, which allows variation in error distribution across different regimes. This model is generalized from the ordinary MS-AR model owing to two considerations, bu...

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Main Authors:	Paravee Maneejuk, Woraphon Yamaka, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043980870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58560
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-58560
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spelling	th-cmuir.6653943832-585602018-09-05T04:33:24Z A Markov-Switching Model with Mixture Distribution Regimes Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta Computer Science Mathematics © 2018, Springer International Publishing AG, part of Springer Nature. This study proposes the mixture Markov-switching autoregressive model, which allows variation in error distribution across different regimes. This model is generalized from the ordinary MS-AR model owing to two considerations, but related to each other. First, we have concern about the mixture of distributions or populations, which often prevails in economic time series. Second, when using the MS models to analyse economic fluctuation, we doubt if each regime in the model can have distinct distribution. All of these concerns are addressed by an empirical study. 2018-09-05T04:26:15Z 2018-09-05T04:26:15Z 2018-01-01 Book Series 16113349 03029743 2-s2.0-85043980870 10.1007/978-3-319-75429-1_26 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043980870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58560
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science Mathematics
spellingShingle	Computer Science Mathematics Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta A Markov-Switching Model with Mixture Distribution Regimes
description	© 2018, Springer International Publishing AG, part of Springer Nature. This study proposes the mixture Markov-switching autoregressive model, which allows variation in error distribution across different regimes. This model is generalized from the ordinary MS-AR model owing to two considerations, but related to each other. First, we have concern about the mixture of distributions or populations, which often prevails in economic time series. Second, when using the MS models to analyse economic fluctuation, we doubt if each regime in the model can have distinct distribution. All of these concerns are addressed by an empirical study.
format	Book Series
author	Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta
author_facet	Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta
author_sort	Paravee Maneejuk
title	A Markov-Switching Model with Mixture Distribution Regimes
title_short	A Markov-Switching Model with Mixture Distribution Regimes
title_full	A Markov-Switching Model with Mixture Distribution Regimes
title_fullStr	A Markov-Switching Model with Mixture Distribution Regimes
title_full_unstemmed	A Markov-Switching Model with Mixture Distribution Regimes
title_sort	markov-switching model with mixture distribution regimes
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043980870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58560
_version_	1681425088224690176

A Markov-Switching Model with Mixture Distribution Regimes

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