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MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes

Listed author(s):
  • Joanna Janczura
  • Rafal Weron

MRS2_PLOT(KSI_TT,DATA) generates a figure with two panels visualizing calibration results for a Markov regime-switching (MRS) model with 2 regimes fitted to time series DATA. In the bottom panel probabilities KSI_TT that an observation comes from the spike (i.e. second) regime 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>0.5) marked by red dots. MRS2_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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Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11004.

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Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 03 Oct 2011
Handle: RePEc:wuu:hscode:m11004
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