On Regime Switching Models
Regime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis. This paper reviews various regime switching models with various regime switching mechanisms, including threshold models,...
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| Format: | Article |
| Language: | English |
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MDPI AG
2025-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/13/7/1128 |
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| author | Zhenni Tan Yuehua Wu |
| author_facet | Zhenni Tan Yuehua Wu |
| author_sort | Zhenni Tan |
| collection | DOAJ |
| description | Regime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis. This paper reviews various regime switching models with various regime switching mechanisms, including threshold models, hidden Markov regime switching models, hidden semi-Markov regime switching models, and smooth transition models. The focus is on regime switching models for time series, studying their underlying frameworks, popular variants, and commonly used estimation methods. In addition, six different regime switching models are compared using two real-world datasets. |
| format | Article |
| id | doaj-art-b291e5e8feeb42cf945c00fc2a5ae96a |
| institution | OA Journals |
| issn | 2227-7390 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj-art-b291e5e8feeb42cf945c00fc2a5ae96a2025-08-20T02:09:17ZengMDPI AGMathematics2227-73902025-03-01137112810.3390/math13071128On Regime Switching ModelsZhenni Tan0Yuehua Wu1Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, ON M3J 1P3, CanadaDepartment of Mathematics and Statistics, York University, 4700 Keele St., Toronto, ON M3J 1P3, CanadaRegime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis. This paper reviews various regime switching models with various regime switching mechanisms, including threshold models, hidden Markov regime switching models, hidden semi-Markov regime switching models, and smooth transition models. The focus is on regime switching models for time series, studying their underlying frameworks, popular variants, and commonly used estimation methods. In addition, six different regime switching models are compared using two real-world datasets.https://www.mdpi.com/2227-7390/13/7/1128regime switchingthresholdhidden semi-Markovsmooth transitionsojourn distribution |
| spellingShingle | Zhenni Tan Yuehua Wu On Regime Switching Models Mathematics regime switching threshold hidden semi-Markov smooth transition sojourn distribution |
| title | On Regime Switching Models |
| title_full | On Regime Switching Models |
| title_fullStr | On Regime Switching Models |
| title_full_unstemmed | On Regime Switching Models |
| title_short | On Regime Switching Models |
| title_sort | on regime switching models |
| topic | regime switching threshold hidden semi-Markov smooth transition sojourn distribution |
| url | https://www.mdpi.com/2227-7390/13/7/1128 |
| work_keys_str_mv | AT zhennitan onregimeswitchingmodels AT yuehuawu onregimeswitchingmodels |