Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

By Zacharias Psaradakis, Nicola Spagnolo. 2006

71 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5c5a42b5027fb6ffd17442d91c0dc35b437583cb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Michael I. Jordan
2. Alan S. Willsky
3. Erik B. Sudderth
4. Massimiliano Marcellino
5. Emily B. Fox
6. Pierre Guérin
7. Kenji Fukumizu
8. Barnab'as P'oczos

In Statistics and Probability

1. Erik B. Sudderth
2. Emily B. Fox
3. Michael I. Jordan
4. Alan S. Willsky
5. Massimiliano Marcellino
6. Pierre Guérin
7. David M. Blei
8. Kenji Fukumizu

Citations in the corpus

• Bayesian Nonparametric Inference of Switching Dynamic Linear Models (2010, background): “Psaradakis and Spagnolog [20] alternatively consider a penliz d likelihood approach to identification of stochastic switching VAR processes.”
• Markov-Switching MIDAS Models (2013, methodology): “In the empirical part, we will follow Psaradakis and Spagnolo (2006) and use the Schwarz information criterion for selecting the number of regimes and deciding whether the variance of the disturbances should also change across regimes.”