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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron).
If references are entirely missing, you can add them using this form.