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: | , , |
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| Format: | Book Series |
| Published: |
2018
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| Subjects: | |
| 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 |