Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/20164 |
Resumo: | 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. |
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Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknownInhomogeneous Markov chainstructural breakstime-varying probabilitiesMarkov 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.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaDamásio, BrunoNicolau, João2020-07-02T14:45:56Z2020-062020-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/20164engDamásio, 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 – 20202184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:49:37Zoai:www.repository.utl.pt:10400.5/20164Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:04:57.746184Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
title |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
spellingShingle |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown Damásio, Bruno Inhomogeneous Markov chain structural breaks time-varying probabilities |
title_short |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
title_full |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
title_fullStr |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
title_full_unstemmed |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
title_sort |
Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown |
author |
Damásio, Bruno |
author_facet |
Damásio, Bruno Nicolau, João |
author_role |
author |
author2 |
Nicolau, João |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Damásio, Bruno Nicolau, João |
dc.subject.por.fl_str_mv |
Inhomogeneous Markov chain structural breaks time-varying probabilities |
topic |
Inhomogeneous Markov chain structural breaks time-varying probabilities |
description |
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. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-07-02T14:45:56Z 2020-06 2020-06-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/20164 |
url |
http://hdl.handle.net/10400.5/20164 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
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 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799131142242172928 |