856 resultados para Welfare State Models


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WI docs no.: Chi 2.1:1957-1967

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"April 25, 1946."

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Contains bibliographies.

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Mode of access: Internet.

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Compiled and edited by Paul L. Stanchfield.

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The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.