A Markov Regime Switching Model with time varying transition probabilities

10 October 2016 1 3K Report

Hello everyone!

I am studying a Markov Regime Switching Model with time varying transition probabilities, but I am puzzled by the code using in matlab, is there existing the code which I am finding?

Aparna Sathya Murthy

Where can you find it ??

http://blogs.mathworks.com/pick/2011/02/25/markov-regime-switching-models-in-matlab/

I would suggest , go by the first principles (worst case), using statistical analysis for time variations.

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