Computational issues in parameter estimation for stationary hidden Markov models
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Bibliographic InfoArticle provided by Springer in its journal Computational Statistics.
Volume (Year): 23 (2008)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=120306
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- Janczura, Joanna & Weron, Rafal, 2010.
"Goodness-of-fit testing for regime-switching models,"
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- Janczura, Joanna & Weron, Rafal, 2011. "Goodness-of-fit testing for the marginal distribution of regime-switching models," MPRA Paper 32532, University Library of Munich, Germany.
- Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 97(3), pages 239-270, July.
- Bulla, Jan, 2009.
"Hidden Markov models with t components. Increased persistence and other aspects,"
21830, University Library of Munich, Germany.
- Jan Bulla, 2010. "Hidden Markov models with t components. Increased persistence and other aspects," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 459-475.
- Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
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