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matlab自回归马尔可夫转换模型仿真估计与预测,matlab autoregressive Markov switching model simulation estimates and projections
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download markov switching model for oxmetrics
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Autoregressive Markov Switching Model函数用于评估、仿真及预测自回归的马尔可夫转换模型。可以选择用于模型估计的分布函数。用于研究时间序列结构性变化，分析金融、股市乃至通货膨胀的研究-Autoregressive Markov Switching Model function for the assessment, simulation and forecasting autoregressive Markov switching model. Estimate
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ddmsvar oxmetrics cod markov switching model
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Contains the matlab routines to estimate a univariate markov switching multifractal model of calvet and fisher 2004
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马尔科夫状态转换模型的matlab预测程序-markov regime switching model code on matlab
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Markov Chain model for regime switching time series
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交互多模型算法是一种用模型集描述系统各个时刻的状态，相对于单模型系统有很大的适应性，其模型集之间的切换是一个马尔科夫过程，按照状态转移概率矩阵进行切换的-Interacting multiple model algorithm is a model used to describe the system sets the status of each moment, as opposed to a single model system has great flexibility, the mo
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This is a GAUSS program. It will implement the estimation and testing
procedures for a Markov switching parameter model as presented in B. Hansen
"The likelihood ratio test under non-standard conditions: Testing the
Markov trend model of GNP."
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This is a matlab program. It will implement the estimation and testing
procedures for a Markov switching parameter model as presented in B. Hansen
"The likelihood ratio test under non-standard conditions: Testing the
Markov trend model of GNP."
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MS-AR：马尔科夫取值转移自回归模型，状态可取两种状态，也可以取多种状态。-MS-AR：the program of Markov Switching autoregressive model.
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马尔科夫机制转换模型代码,可以用于货币政策传导机制的拟合与预测.-Markov state switching models are a type of speci cation which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilis
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基于马尔科夫转换多重分形预测模型，MSM模型具有较少的参数和无限的频率。该模型通过使用机制转换（regime switching）技术，能较好的捕捉金融时间序列波动中隐藏的离群值、时间标度以及长程相关性特征。Calvet和Fisher使用MSM模型对四种汇率序列进行预测，他们发现MSM模型的长期预测性能优于GARCH、MS-GARCH（Markov switching GARCH）、FIGARCH等模型，MSM模型适用于具有显著异常值和长程记忆性的真实波动序列的预测。(the Markov-Sw
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