Bayesian Analysis of a Structural Model with Switching Regime
Roland Shami
Broschiertes Buch

Bayesian Analysis of a Structural Model with Switching Regime

The Exponential Smoothing Method with Switching Regime

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A new class of models based on the innovations form of structural models underlying exponential smoothing methods and a latent Markov switching process is proposed. Firstly, the local level model with a switching drift is introduced where the drift is represented by a variable that evolves according to a Markov chain and describes the change between high and low growth rate periods. One drift coefficient represents the expected rate of growth during an expansion and the other drift coefficient represents the expected rate during a recession. The transition probabilities of the Markov chain are...