Regime Switching Model with Time Varying Transition Probabilities
Code for estimating a Markov Regime Switching Model with time varying transition probabilities.
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Editor's Note: Popular File 2014
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.
Cite As
Zhuanxin Ding (2026). Regime Switching Model with Time Varying Transition Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/37144-regime-switching-model-with-time-varying-transition-probabilities), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.6.0.0 (60 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.6.0.0 | Moved the beginning part of the code with nargin from function checkInputs_tvtp() to the beginning of the main function MS_Regress_Fit_tvtp.m. The old code returned error message when the newer (2017 or later) edition of Matlab is used. |
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| 1.5.0.0 | 1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
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| 1.2.0.0 | Add explanation to the tvtp matrix notation.
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| 1.0.0.0 |
