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Pers. comm. with Jeremy Brown:
Here are a few of the papers I mentioned when we chatted last week:
https://www.sciencedirect.com/science/article/pii/S0025556497000813
https://academic.oup.com…
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Hello, I found your tools can do Makov switching on AR processes but if it able to do on GARCH?
I use this code
`mod_hamilton = sm.tsa.MarkovAutoregression(GLD_ddate, k_regimes=2, order=1, switc…
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#### Is your feature request related to a problem? Please describe
after a model.fit() , I'd like to have a out of sample predict function, that would use the current smoothed_marginal_probabilities,…
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example `if type(corr1) == np.ndarray:`
should either use `is` or `isinstance`.
Most likely we want `is` in those cases, i.e. rule out subclasses of ndarray (which might not have compatible behavior…
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I'm hoping to implement a state-space model that includes Markov-switches between "regimes", which represent different parameter values for the function representing the expected value of changes over…
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This issue isolates and continues discussions in https://github.com/JuliaDiffEq/DifferentialEquations.jl/issues/260 with @dlfivefifty and @ChrisRackauckas on a joint design of the interface for domai…
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Hi Jim,
I am working on a Bayesian locally-adaptive nonparametric smoothing logistic regression model accounting for measurement errors.
The likelihood loop of the model has the form
for…
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(a mixed bag of issues, without overview or references for actual algorithms)
triggered by looking at some literature for robust transformation (box-cox issue and PR)
https://github.com/statsmodels/st…
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How hard to you think it would be to generalize your model to one where you have multiple time series all sharing the same switching factor (like Equation (1) in http://pages.uoregon.edu/jpiger/resea…
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Embedding Guile Scheme
M
gnu guile snarf
Edit
I'm afraid I don't have enough context to fully understand your query "gnu guile snarf". However, let me provide some potentially relevant informatio…