A Regularized Vector Autoregressive Hidden Semi-Markov model, with Application to Multivariate Financial Data
Hidden Markov model (HMM) has been a popular choice for financial time series modeling due to its advantage in capturing dynamic regimes. However, HMM's implicit assumption that the state duration follows a geometric distribution is too strong to hold in practice. In this work, we propose a reg...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LibraryPress@UF
2021-04-01
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| Series: | Proceedings of the International Florida Artificial Intelligence Research Society Conference |
| Online Access: | https://journals.flvc.org/FLAIRS/article/view/128424 |
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