An application of regime-switching models to historical data

0 avis

An application of regime-switching models to historical data

Archive ouverte

Alerini, Julien | Olteanu, Madalina | Ridgway, James

Edité par CCSD -

International audience. This paper is devoted to an application of hidden Markov models to historical data. Empirical observations showed that periods of conflict are characterized by an important increase of the norm. A segmentation of the data should bring some elements of answer to the following questions : are there synchronous periods when comparing the normative production with the situations of war? Or are there discordances between the two that can inform us on the State politics? The data we had to deal with was very specific and we propose two new models to analyze it. In the first one, we introduce a zero-inflated Poisson distribution in the context of hidden Markov models. The second model generalizes integer-valued autoregressive processes by adding a hidden Markov chain.

Langue: en

Consulter en ligne

Consulter le document

Suggestions

Du même auteur

MARKOV AND THE DUCHY OF SAVOY: SEGMENTING A CENTURY WITH REGIME-SWITCHING MODELS

Archive ouverte | Alerini, Julien | CCSD

International audience. Studying time is at the core of the historian's research. For the statistician, time is usually a supplementary parameter or a supplementary variable which the models he develops have to take...

Modélisation de séries temporelles à valeurs entières par des modèles autorégressifs à changements de régime

Archive ouverte | Alerini, Julien | CCSD

International audience. Les séries temporelles à valeurs entières ont été souvent modélisées par des processus autorégressifs de type INAR(p). Cependant, les données réelles sont souvent sujet à des changements de r...

DiscreteTS : two hidden-Markov models for time series of count data

Archive ouverte | Alerini, Julien | CCSD

DiscreteTS : two hidden-Markov models for time series of count data

Chargement des enrichissements...

Syracuse