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Journal of the American Statistical Association Volume 112, 2017 - Issue 517
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Theory and Methods

Shrinkage Estimation for Multivariate Hidden Markov Models

Mark FiecasDepartment of Statistics, University of Warwick, Coventry, United Kingdom
,
Jürgen FrankeDepartment of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany
,
Rainer von SachsInstitute of Statistics, Biostatistics, and Actuarial Sciences (ISBA) Université Catholique de Louvain, Louvain la Neuve, Belgium
&
Joseph Tadjuidje KamgaingDepartment of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany
Pages 424-435 | Received 01 May 2012, Published online: 03 May 2017

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Gilberto Chavez-Martinez, Ankush Agarwal, Abbas Khalili & Syed Ejaz Ahmed. (2023) Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models. Technometrics 65:4, pages 553-563.
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Articles from other publishers (10)

Reetam Majumder, Qing Ji & Nagaraj K. Neerchal. (2022) Optimal Stock Portfolio Selection with a Multivariate Hidden Markov Model. Sankhya B 85:S1, pages 177-198.
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Marcelo Lewin & Carlos Heitor Campani. (2022) Constrained portfolio strategies in a regime-switching economy. Financial Markets and Portfolio Management 37:1, pages 27-59.
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Peter Nystrup, Petter N. Kolm & Erik Lindström. (2021) Feature selection in jump models. Expert Systems with Applications 184, pages 115558.
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Yuan Yao, Yi Cao, Jia Zhai, Junxiu Liu, Mengyuan Xiang & Lu Wang. (2020) Latent state recognition by an enhanced hidden Markov model. Expert Systems with Applications 161, pages 113722.
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Peter Nystrup, Erik Lindström & Henrik Madsen. (2020) Learning hidden Markov models with persistent states by penalizing jumps. Expert Systems with Applications 150, pages 113307.
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Rainer von Sachs. (2020) Nonparametric Spectral Analysis of Multivariate Time Series. Annual Review of Statistics and Its Application 7:1, pages 361-386.
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Peter Nystrup, Stephen Boyd, Erik Lindström & Henrik Madsen. (2018) Multi-period portfolio selection with drawdown control. Annals of Operations Research 282:1-2, pages 245-271.
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David Hallac, Peter Nystrup & Stephen Boyd. (2018) Greedy Gaussian segmentation of multivariate time series. Advances in Data Analysis and Classification 13:3, pages 727-751.
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Ansgar Steland & Rainer von Sachs. (2018) Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage. Stochastic Processes and their Applications 128:8, pages 2816-2855.
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Peter Nystrup, Petter N. Kolm & Erik Lindstrom. (2021) Feature Selection in Jump Models. SSRN Electronic Journal.
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