I am looking for a comprehensive list of regime switching/change point models/techniques which can be used to model different regimes / change points in financial time series. What I found so far are:
- Hidden Markovian Regime Switching (HMRS)
- Interactive Hidden Markovian Regime Switching (IHMRS)
- Self Exciting Threshold Autoregressive (SETAR)
Change Point Analysis:
- Bayesian Change Point Detection
- Extreme Change Point Detection
What other techniques are out there?
PS: I will try to keep the question updated so that it turns into a wiki entry.