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kisungyou
maotai:Tools for Matrix Algebra, Optimization and Inference
Matrix is an universal and sometimes primary object/unit in applied mathematics and statistics. We provide a number of algorithms for selected problems in optimization and statistical inference. For general exposition to the topic with focus on statistical context, see the book by Banerjee and Roy (2014, ISBN:9781420095388).
Maintained by Kisung You. Last updated 14 days ago.
8 stars 5.51 score 15 scripts 9 dependents
roga11
MSTest:Hypothesis Testing for Markov Switching Models
Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.
Maintained by Gabriel Rodriguez Rondon. Last updated 1 months ago.
autoregressivebootstraphypothesis-testinglikelihood-ratio-testmarkov-chainmomentsmonte-carlonon-linearregime-switchingtime-seriesopenblascppopenmp
5 stars 4.18 score 3 scripts