Title :
Interaction of mean and variance of time series: a Markov switching analysis
Author :
Chin, T.C. ; Mital, D.P. ; Chua, H.C.
Author_Institution :
Sch. of Electr. & Electron. Eng., Nanyang Technol. Inst., Singapore
Abstract :
Describes the analysis of interaction of the mean and the variance of time series using a Markov switching model. In particular, we include Markov switching heteroscedasticity in the standard time series model. The proposed Markov switching model is applied to investigate the link between the mean and variance for the Singapore private property price index series. We assume that the price data series consists of a stochastic-trend random-walk component and a stationary autoregressive component. A four-state model of the price data series is then specified. By incorporating regime shifts in both mean and variance structures, we then analyse the interaction of mean and variance over long and short horizons
Keywords :
Markov processes; autoregressive processes; economic cybernetics; property market; switching; time series; Markov switching analysis; Singapore private property price index series; heteroscedasticity; mean-variance interaction; price data series; random-walk component; regime shifts; stationary autoregressive component; stochastic trend; time series; Analysis of variance; Data engineering; Electric shock; Equations; Markov processes; State-space methods; Stochastic processes; Time measurement; Time series analysis; Uncertainty;
Conference_Titel :
Knowledge-Based Intelligent Engineering Systems and Allied Technologies, 2000. Proceedings. Fourth International Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-6400-7
DOI :
10.1109/KES.2000.885846
