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MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes

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

[KSI_TT,PARAM,P]=MRS2IR_EST(DATA,MODEL) returns smoothed inferences KSI_TT, estimated parameters PARAM and transition matrix P of a Markov regime-switching (MRS) model with 2 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) and a Gaussian (MODEL='G'), shifted-lognormal ('LN'), shifted-Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime, fitted to time series DATA. The first column (KSI_TT) or row (PARAM, P) contains results for the base regime and the second column/row for the spike regime.

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Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11006.

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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:m11006
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