Regime Switching Model with Time Varying Transition Probabilities
by Zhuanxin Ding
14 Jun 2012
(Updated 20 Nov 2012)
Code for estimating a Markov Regime Switching Model with time varying transition probabilities.
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| File Information |
| Description |
The MATLAB code presented here is for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov Regime Switching Model with constant transition probability matrix. |
| Required Products |
Optimization Toolbox
Statistics Toolbox
MATLAB
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| MATLAB release |
MATLAB 7.14 (R2012a)
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| Updates |
| 28 Jun 2012 |
Add explanation to the tvtp matrix notation.
Add Tomlab as an alternative for optimization. |
| 20 Nov 2012 |
1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
2) Added Tomlab optimizer as an alternative optimization tool. |
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