Listar Artículos y otros documentos de investigación por autor "Psaradakis, Zacharias"
Mostrando ítems 1-2 de 2
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Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
Sola, Martin; Psaradakis, Zacharias (2017)This paper proposes a model which allows for discrete stochastic breaks in the timevarying transition probabilities of Markov-switching models with autoregressive dynamics. An extensive simulation study is undertaken to ... -
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
Sola, Martin; Pouzo, Demian; Psaradakis, Zacharias (Universidad Torcuato Di Tella, 2024-06)We consider general hidden Markov models that may include exogenous co- variates and whose discrete-state-space regime sequence has transition prob- abilities that are functions of observable variables. We show that the ...