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Kybernetika 43(4):431-442, 2007.

Applications of Regime-Switching Models Based on Aggregation Operators

Jozef Komorník and Magda Komorníková


Abstract:

A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.


Keywords: time series; regime-switching model; aggregation operator; model adequacy testing;


AMS: 37M10; 68T37;


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BIB TeX

@article{kyb:2007:4:431-442,

author = {Komorn\'{i}k, Jozef and Komorn\'{i}kov\'{a}, Magda },

title = {Applications of Regime-Switching Models Based on Aggregation Operators},

journal = {Kybernetika},

volume = {43},

year = {2007},

number = {4},

pages = {431-442}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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