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Regime Switching Model with Time Varying Transition Probabilities

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Regime Switching Model with Time Varying Transition Probabilities

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14 Jun 2012 (Updated )

Code for estimating a Markov Regime Switching Model with time varying transition probabilities.

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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
MATLAB release MATLAB 7.14 (R2012a)
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Comments and Ratings (3)
11 Jul 2013 Georgi  
13 Oct 2012 yan Chen  
10 Jul 2012 ss4johnny Hall

This looks cool. Thanks for making it available.

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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