IDEAS home Printed from https://ideas.repec.org/p/aiz/louvar/2017032.html
   My bibliography  Save this paper

Shrinkage Estimation for Multivariate Hidden Markov Mixture Models

Author

Listed:
  • Fiecas, Marc
  • Franke, Jurgen
  • von Sachs, Rainer
  • Tadjuidje, Joseph

Abstract

No abstract is available for this item.

Suggested Citation

  • Fiecas, Marc & Franke, Jurgen & von Sachs, Rainer & Tadjuidje, Joseph, 2017. "Shrinkage Estimation for Multivariate Hidden Markov Mixture Models," LIDAM Reprints ISBA 2017032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Handle: RePEc:aiz:louvar:2017032
    Note: In : Journal of the American Statistical Association, vol. 112, no. 517, p. 424-435 (2017)
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Reetam Majumder & Qing Ji & Nagaraj K. Neerchal, 2023. "Optimal Stock Portfolio Selection with a Multivariate Hidden Markov Model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 177-198, May.
    2. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    3. von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aiz:louvar:2017032. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.