4.6 Article

Regime switching model estimation: spectral clustering hidden Markov model

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article

A Three-State Markov-Modulated Switching Model for Exchange Rates

Idowu Oluwasayo Ayodeji

Journal of Applied Mathematics (2016)

Article Computer Science, Artificial Intelligence

RankRC: Large-Scale Nonlinear Rare Class Ranking

Aditya Tayal et al.

IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING (2015)

Article Computer Science, Interdisciplinary Applications

Maximum likelihood estimation of the Markov-switching GARCH model

Maciej Augustyniak

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2014)

Article Business, Finance

Money growth and inflation: A regime switching approach

Gianni Amisano et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2013)

Article Operations Research & Management Science

A BSDE approach to risk-based asset allocation of pension funds with regime switching

Tak Kuen Siu

ANNALS OF OPERATIONS RESEARCH (2012)

Article Statistics & Probability

Efficient estimation of Markov regime-switching models: An application to electricity spot prices

Joanna Janczura et al.

ASTA-ADVANCES IN STATISTICAL ANALYSIS (2012)

Article Computer Science, Hardware & Architecture

A spectral algorithm for learning Hidden Markov Models

Daniel Hsu et al.

JOURNAL OF COMPUTER AND SYSTEM SCIENCES (2012)

Article Operations Research & Management Science

Pricing swing options with regime switching

M. I. M. Wahab et al.

ANNALS OF OPERATIONS RESEARCH (2011)

Article Operations Research & Management Science

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Robert J. Elliott et al.

ANNALS OF OPERATIONS RESEARCH (2010)

Article Computer Science, Interdisciplinary Applications

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Christian Francq et al.

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2008)

Article Computer Science, Theory & Methods

A tutorial on spectral clustering

Ulrike von Luxburg

STATISTICS AND COMPUTING (2007)

Article Computer Science, Artificial Intelligence

An introduction to ROC analysis

Tom Fawcett

PATTERN RECOGNITION LETTERS (2006)

Article Computer Science, Artificial Intelligence

Normalized cuts and image segmentation

JB Shi et al.

IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE (2000)