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Regime Switching Model with Time Varying Transition Probabilities

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4.7 | 3 ratings Rate this file 51 Downloads (last 30 days) File Size: 62 KB File ID: #37144 Version: 1.5

Regime Switching Model with Time Varying Transition Probabilities

by

Zhuanxin Ding (view profile)

 

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 and Machine Learning Toolbox
MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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Comments and Ratings (4)
10 Nov 2014 fenhong huang  
11 Jul 2013 Georgi

Georgi (view profile)

 
13 Oct 2012 yan Chen  
10 Jul 2012 ss4johnny Hall

This looks cool. Thanks for making it available.

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Updates
28 Jun 2012 1.2

Add explanation to the tvtp matrix notation.
Add Tomlab as an alternative for optimization.

20 Nov 2012 1.5

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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