MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes
Abstract[KSI_TT,PARAM,P]=MRS3IR_EST(DATA,MODEL) returns smoothed inferences KSI_TT, estimated parameters PARAM and transition matrix P of a Markov regime-switching (MRS) model with 3 independent regimes: (i) an AR(1) process in the base regime X(t+1)=phi_1*X(t)+c_1+sigma_1*|X(t)|^g_1*N(0,1), (ii) a Gaussian (MODEL='G'), lognormal ('LN'), Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime, (iii) and a shifted 'inverse lognormal' price drop regime, fitted to time series DATA. The first column (KSI_TT) or row (PARAM, P) contains results for the base regime, the second column/row for the spike regime and the third column/row for the drop regime.
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11010.
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; Calibration; Expectation-maximization; Smoothed inferences.; 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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