MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes
AbstractMRS3_PLOT(KSI_TT,DATA) generates a figure with three panels visualizing calibration results for a Markov regime-switching (MRS) model with 3 regimes fitted to time series DATA. In the middle and bottom panels probabilities KSI_TT that an observation comes from the spike (i.e. second) or the drop (i.e. third) regimes, respectively, are plotted. In the top panel the time series is displayed with observations identified as belonging to the spike regime (i.e. having KSI_TT(:,2)>0.5) marked by red dots and with observations identified as belonging to the drop regime (i.e. having KSI_TT(:,3)>0.5) marked by black x's. MRS3_PLOT(KSI_TT,DATA,YLAB,XLAB,TIT,POS) allows to specify ylabel (YLAB), xlabel (XLAB), title (TIT) and position of the plot (POS=1 for left panel, POS=2 for right panel and POS=0 for the whole figure).
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11009.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 10 Oct 2011
Date of revision:
Markov regime-switching (MRS) model; Sample trajectory; Calibration.; reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
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