Title :
Markov-switching regime for time series prediction
Author :
Chin, T.C. ; Ang, J. ; Seah, N.S. ; Mital, D.P. ; Chua, H.C.
Author_Institution :
Sch. of Electr. & Electron. Eng., Nanyang Technol. Univ., Singapore
Abstract :
We describe in this paper an approach of time series prediction using the Markov switching model to detect changes in the regime. The procedure is based on the inference of unobserved state and the estimation of model parameters. Emphasis is placed on the formulation and specification of the model. The proposed model fits well in-sample and it is able to detect the changes in the regime. A simple illustrative example is described
Keywords :
Markov processes; forecasting theory; parameter estimation; time series; Markov switching model; inference; model parameter estimation; time series prediction; unobserved state; Economic forecasting; Frequency measurement; Paper technology; Parameter estimation; Particle measurements; Predictive models; State estimation; Stochastic processes; Switches; Time measurement;
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.2000.884091
