Title :
An EM algorithm for switching regression with three regimes
Author :
Chen, Dengta ; Du, Yajun
Author_Institution :
Wang Yanan Inst. for Study of Econ., Xiamen Univ., Xiamen, China
Abstract :
We extend [2]´s switching regression model from two regimes to three regimes, and propose a simple EM algorithm to facilitate the estimation. Monte Carlo simulations show that this EM algorithm is highly efficient.
Keywords :
Monte Carlo methods; expectation-maximisation algorithm; regression analysis; EM algorithm; Monte Carlo simulations; switching regression model; Economics; Gaussian distribution; Maximum likelihood estimation; Monte Carlo methods; Standards; Switches;
Conference_Titel :
Systems and Informatics (ICSAI), 2012 International Conference on
Conference_Location :
Yantai
Print_ISBN :
978-1-4673-0198-5
DOI :
10.1109/ICSAI.2012.6223493
