Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton

This paper proposes two innovative algorithms to estimate a general class of N-state Markov-switching autoregressive moving-average (MS-ARMA) models with a sample of size T. To resolve the problem of NT possible routes induced by the presence of MA parameters, the first algorithm is built on Hamilton’s (1989) method and Gray’s (1996) idea of replacing the lagged error terms with their corresponding conditional expectations. We thus name it as the Hamilton-Gray (HG) algorithm. The second method refines the HG algorithm by recursively updating the conditional expectations of these errors and is named as the extended Hamilton-Gray (EHG) algorithm. The computational cost of both algorithms is very mild, because the implementation of these algorithms is very much similar to that of Hamilton (1989). The simulations show that the finite sample performance of the EHG algorithm is very satisfactory and is much better than that of the HG counterpart. We also apply the EHG algorithm to the issues of dating U.S. business cycles with the same real GNP data employed in Hamilton (1989). The turning points identified with the EHG algorithm resemble closely to those of the NBER’s Business Cycle Dating Committee and confirm the robustness of the findings in Hamilton (1989) about the effectiveness of Markov-switching models in dating U.S. business cycles.Markov-switching, ARMA process

Using affinity set on mining the necessity of computed tomography scanning

Computed tomography (CT) is a medical imaging method of tomography. Digital geometry processing is used to generate a three-dimensional image of the inside of a patient from a large series of two-dimensional X-ray images taken around a single axis of rotation. The scanning ofCT has become an important tool in medical imaging to supplement X-rays and medical ultrasonography. Although it is expensive, it is the best tool to diagnose a large number of different disease entities; especially, for the trauma patients in emergency room. In this study, the trauma patients, who were treated by the CT scanning are collected in order to discover the critical knowledge; that is, what characteristics of trauma patients would lead to the necessity of CT scanning? The data mining model of affinity set and neural network (NN) are both used for resolution and comparison. Finally, studying results show that he affinity model performs better than the NN model, but the collected data lacks the explanatory power in practices. Thus, a further research is necessary