A Regularized Vector Autoregressive Hidden Semi-Markov Model, with Application to Multivariate Financial Data

18 Feb 2020 Xu Zekun Liu Ye

A regularized vector autoregressive hidden semi-Markov model is developed to analyze multivariate financial time series with switching data generating regimes. Furthermore, an augmented EM algorithm is proposed for parameter estimation by embedding regularized estimators for the state-dependent covariance matrices and autoregression matrices in the M-step... (read more)

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