6,149 research outputs found
Markov Switching
Markov switching models are a popular family of models that introduces
time-variation in the parameters in the form of their state- or regime-specific
values. Importantly, this time-variation is governed by a discrete-valued
latent stochastic process with limited memory. More specifically, the current
value of the state indicator is determined only by the value of the state
indicator from the previous period, thus the Markov property, and the
transition matrix. The latter characterizes the properties of the Markov
process by determining with what probability each of the states can be visited
next period, given the state in the current period. This setup decides on the
two main advantages of the Markov switching models. Namely, the estimation of
the probability of state occurrences in each of the sample periods by using
filtering and smoothing methods and the estimation of the state-specific
parameters. These two features open the possibility for improved
interpretations of the parameters associated with specific regimes combined
with the corresponding regime probabilities, as well as for improved
forecasting performance based on persistent regimes and parameters
characterizing them.Comment: Keywords: Transition Probabilities, Exogenous Markov Switching,
Infinite Hidden Markov Model, Endogenous Markov Switching, Markov Process,
Finite Mixture Model, Change-point Model, Non-homogeneous Markov Switching,
Time Series Analysis, Business Cycle Analysi
Markov Switching
Markov switching models are a popular family of models that introduces
time-variation in the parameters in the form of their state- or regime-specific
values. Importantly, this time-variation is governed by a discrete-valued
latent stochastic process with limited memory. More specifically, the current
value of the state indicator is determined only by the value of the state
indicator from the previous period, thus the Markov property, and the
transition matrix. The latter characterizes the properties of the Markov
process by determining with what probability each of the states can be visited
next period, given the state in the current period. This setup decides on the
two main advantages of the Markov switching models. Namely, the estimation of
the probability of state occurrences in each of the sample periods by using
filtering and smoothing methods and the estimation of the state-specific
parameters. These two features open the possibility for improved
interpretations of the parameters associated with specific regimes combined
with the corresponding regime probabilities, as well as for improved
forecasting performance based on persistent regimes and parameters
characterizing them.Comment: Keywords: Transition Probabilities, Exogenous Markov Switching,
Infinite Hidden Markov Model, Endogenous Markov Switching, Markov Process,
Finite Mixture Model, Change-point Model, Non-homogeneous Markov Switching,
Time Series Analysis, Business Cycle Analysi
Multilayered feed forward Artificial Neural Network model to predict the average summer-monsoon rainfall in India
In the present research, possibility of predicting average summer-monsoon
rainfall over India has been analyzed through Artificial Neural Network models.
In formulating the Artificial Neural Network based predictive model, three
layered networks have been constructed with sigmoid non-linearity. The models
under study are different in the number of hidden neurons. After a thorough
training and test procedure, neural net with three nodes in the hidden layer is
found to be the best predictive model.Comment: 19 pages, 1 table, 3 figure
Temporal and Spatial Data Mining with Second-Order Hidden Models
In the frame of designing a knowledge discovery system, we have developed
stochastic models based on high-order hidden Markov models. These models are
capable to map sequences of data into a Markov chain in which the transitions
between the states depend on the \texttt{n} previous states according to the
order of the model. We study the process of achieving information extraction
fromspatial and temporal data by means of an unsupervised classification. We
use therefore a French national database related to the land use of a region,
named Teruti, which describes the land use both in the spatial and temporal
domain. Land-use categories (wheat, corn, forest, ...) are logged every year on
each site regularly spaced in the region. They constitute a temporal sequence
of images in which we look for spatial and temporal dependencies. The temporal
segmentation of the data is done by means of a second-order Hidden Markov Model
(\hmmd) that appears to have very good capabilities to locate stationary
segments, as shown in our previous work in speech recognition. Thespatial
classification is performed by defining a fractal scanning ofthe images with
the help of a Hilbert-Peano curve that introduces atotal order on the sites,
preserving the relation ofneighborhood between the sites. We show that the
\hmmd performs aclassification that is meaningful for the agronomists.Spatial
and temporal classification may be achieved simultaneously by means of a 2
levels \hmmd that measures the \aposteriori probability to map a temporal
sequence of images onto a set of hidden classes
A Classifying Procedure for Signaling Turning Points
A Hidden Markov Model (HMM) is used to classify an out of sample 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 o maximizing a likelihood, the model is estimated with respect to known past regimes. This makes it possible to perform feature extraction and estimation for different forecasting horizons. The inference aspect is emphasized by including a penalty for a wrong decision in the cost function. The method is tested by forecasting turning points in the Swedish and US economies, using leading data. Clear and early turning point signals are obtained, contrasting favourable with earlier HMM studies. Some theoretical arguments for this are given.Business Cycle; Feature Extraction; Hidden Markov Switching-Regime Model; Leading Indicator; Probability Forecast.
Characterization of time-varying regimes in remote sensing time series: application to the forecasting of satellite-derived suspended matter concentrations
International audienceSatellite data, with their spatial and temporal coverage, are particularly well suited for the analysis and characterization of space-time-varying relationships between geophysical processes. We investigate here the forecasting of a geophysical variable using both satellite observations and model outputs. As example we study the daily concentration of mineral suspended particulate matters estimated from satellite-derived datasets, in coastal waters adjacent to the French Gironde River mouth. We forecast this high resolution dataset using environmental data (wave height, wind strength and direction, tides and river outflow) and four multi-latent-regime models: homogeneous and non-homogeneous Markov-switching models, with and without an autoregressive term, i.e. the suspended matter concentration observed the day before. We clearly show, using a validation dataset, significant improvements with multi-regime models compared to a classical multi-regression and a state-of-the-art non-linear model (Support Vector Regression (SVR) model). The best results are reported for a mixture of 3 regimes for autoregressive model using non-homogeneous transitions. With the autoregressive models, we obtain at day+1 forecasting performances of 93% of the explained variance for the mixture model compared to 83% for a standard linear model and 85% using a SVR. These improvements are even more important for the non-autoregressive models. These results stress the potential of the identification of geophysical regimes to improve the forecasting or the inversion. We also show that for short periods of lack of observations (typically lesser than 15 days), non-homogeneous transition probabilities and estimated autoregressive term, the observation of the previous day not being available, help to enhance forecasting performances
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