Questions tagged [hidden-markov-model]

sequential data analysis using state space models with discrete latent variables and discrete or continuous observed variables

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Markov switching model estimation

We are testing Markov switching models to forecast risk regimes, similar to the paper by Kritzman, Page and Turkington. We find that in some cases the Baum-Welch algorithm converges very slowly or not ...
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Hidden Markov Models for Higher frequency trading

I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
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modeling regime switching for Correlation matrix

I am trying to estimate covariance in multiple time series. However, I want to do this using a regime-switching framework. So, I start with fitting a GARCH(1,1) model and then de-volatalize the series....
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Which optimality criteria should be used to determine state sequences in HMM?

There are several criteria to determine state sequences in HMM. For example, most possible state for each individual observation, and most possible sequence. Which one should I use to get average ...