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Thread: markov chains- estimation

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    markov chains- estimation




    Hello all,
    my task is to estimate parametres of markov chain model basing on real economic data. Does anyone have any idea what sort of data would be suitable for such a model? Thanks in advance.

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    They use MCs to model "regime switches" (or "change point"). usually they use the EM algorithm. FOREX data would do I think (I have the Mill's book in mind)

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