Publication
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown
| dc.contributor.author | Damásio, Bruno | |
| dc.contributor.author | Nicolau, João | |
| dc.date.accessioned | 2020-07-02T14:45:56Z | |
| dc.date.available | 2020-07-02T14:45:56Z | |
| dc.date.issued | 2020-06 | |
| dc.description.abstract | Markov chains models are used in several applications and different areas of study. Usually a Markov chain model is assumed to be homogeneous in the sense that the transition probabilities are time invariant. Yet, ignoring the inhomogeneous nature of a stochastic process by disregarding the presence of structural breaks can lead to misleading conclusions. Several methodologies are currently proposed for detecting structural breaks in a Markov chain, however, these methods have some limitations, namely they can only test directly for the presence of a single structural break. This paper proposes a new methodology for detecting and testing the presence multiple structural breaks in a Markov chain occurring at unknown dates. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Damásio, Bruno e Joáo Nicolau (2020). "Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown". Instituto Superior de Economia e Gestão – REM Working paper nº 0136 – 2020 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/20164 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation.ispartofseries | REM Working paper;nº 0136 – 2020 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0136_2020.pdf | pt_PT |
| dc.subject | Inhomogeneous Markov chain | pt_PT |
| dc.subject | structural breaks | pt_PT |
| dc.subject | time-varying probabilities | pt_PT |
| dc.title | Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |