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The Autoregressive Markov Switching Model function is designed for evaluating, simulating, and forecasting autoregressive Markov switching models. It allows selection of appropriate distribution functions such as normal or t-distribution for model estimation. This tool is particularly valuable for investigating structural changes in time series data and supports research applications in finance, stock market analysis, and inflation studies. Key implementation aspects include state transition probability estimation and regime-dependent parameter specification.

MATLAB 269 views Tagged