A classifying procedure for signalling t
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Lasse Koskinen; Lars-Erik Γller
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Article
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2004
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John Wiley and Sons
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English
β 368 KB
## Abstract A Hidden Markov Model (HMM) is used to classify an outβofβsample observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. Instead of estimating past turning points using ma