| Title:
|
Applications of regime-switching models based on aggregation operators (English) |
| Author:
|
Komorník, Jozef |
| Author:
|
Komorníková, Magda |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
43 |
| Issue:
|
4 |
| Year:
|
2007 |
| Pages:
|
431-442 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented. (English) |
| Keyword:
|
time series |
| Keyword:
|
regime-switching model |
| Keyword:
|
aggregation operator |
| Keyword:
|
model adequacy testing |
| MSC:
|
37M10 |
| MSC:
|
37N10 |
| MSC:
|
37N40 |
| MSC:
|
62M07 |
| MSC:
|
68T37 |
| MSC:
|
93B30 |
| MSC:
|
93E12 |
| idZBL:
|
Zbl 1137.37333 |
| idMR:
|
MR2377921 |
| . |
| Date available:
|
2009-09-24T20:25:13Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135785 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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[12] Komorník J., Komorníková, M., Szökeová D.: Testing the adequacy of regime-switching time series models nased on aggregation pperators.Submitted |
| Reference:
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| . |
