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Regime Switching Model with Time Varying Transition Probabilities

version 1.6.0.0 (60 KB) by Zhuanxin Ding
Code for estimating a Markov Regime Switching Model with time varying transition probabilities.

27.3K Downloads

Updated 27 Jun 2018

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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 (2022). 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 .

MATLAB Release Compatibility
Created with R2018a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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