dc.contributor.author | Ye, Lingyun | |
dc.date.accessioned | 2012-07-26T17:19:30Z | |
dc.date.available | 2012-07-26T17:19:30Z | |
dc.date.issued | 2012-07-26 | |
dc.identifier.uri | http://hdl.handle.net/10222/15126 | |
dc.description.abstract | A regime-switching model is a time-series model in which parameters change values
according to the regime at present time. While regime-switching models have been very
popular in applied work, there is a lack of literature for simulation studies. New methods
based on regime-switching models are often proposed with neither a proof of convergence
nor simulations to demonstrate their basic properties. In this thesis, a detailed simulation
study of regime-switching models is conducted. A strategy to generate initial search values
in the parameter estimation of regime-switching models is proposed. It is shown that this
method can dramatically reduce the number of restarts of the optimizer. Even in 3-regime
models (with 15 unknown parameters), parameters can be estimated reasonably well with
only 5 restarts. | en_US |
dc.language.iso | en | en_US |
dc.title | MARKOV REGIME-SWITCHING MODELS | en_US |
dc.date.defence | 2012-07-19 | |
dc.contributor.department | Department of Mathematics & Statistics - Statistics Division | en_US |
dc.contributor.degree | Master of Science | en_US |
dc.contributor.external-examiner | no external examiner | en_US |
dc.contributor.graduate-coordinator | Dr. David Hamilton | en_US |
dc.contributor.thesis-reader | Dr. Joanna Elizabeth Mills Flemming | en_US |
dc.contributor.thesis-supervisor | Dr. Yonggan Zhao, Dr. Bruce Smith | en_US |
dc.contributor.ethics-approval | Not Applicable | en_US |
dc.contributor.manuscripts | Not Applicable | en_US |
dc.contributor.copyright-release | Not Applicable | en_US |