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On Regime Switching Models

Author

Listed:
  • Zhenni Tan

    (Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, ON M3J 1P3, Canada)

  • Yuehua Wu

    (Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, ON M3J 1P3, Canada)

Abstract

Regime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis. This paper reviews various regime switching models with various regime switching mechanisms, including threshold models, hidden Markov regime switching models, hidden semi-Markov regime switching models, and smooth transition models. The focus is on regime switching models for time series, studying their underlying frameworks, popular variants, and commonly used estimation methods. In addition, six different regime switching models are compared using two real-world datasets.

Suggested Citation

  • Zhenni Tan & Yuehua Wu, 2025. "On Regime Switching Models," Mathematics, MDPI, vol. 13(7), pages 1-24, March.
    • Handle: RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629
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