Estimation and testing of nonparametric hidden Markov model with application in stock market

doi:10.1080/03610926.2019.1622731

CORC > 上海财经大学 > 上海财经大学

	Estimation and testing of nonparametric hidden Markov model with application in stock market
	Huang, Yue
刊名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
	2019-05-29
关键词	Nonparametric hidden Markov model generalized likelihood ratio test Kernel regression EM algorithm
ISSN号	0361-0926
DOI	10.1080/03610926.2019.1622731
英文摘要	In this paper, a fully nonparametric Hidden Markov Model is proposed, where both the state dependent emission model and transition matrix are all nonparametric and depend on a covariate. By reducing modeling bias, the new model extends the applicability of both the semiparametric HMM with nonparametric emission model and nonhomogeneous HMM. A modified EM algorithm, which combines the kernel regression technique, is proposed for estimation. Model selection procedures are provided and a conditional bootstrap method is employed to assess the standard errors of the estimates. A generalized likelihood ratio test procedure is further proposed and the Wilk's type of phenomenon is verified to hold for the proposed model. Simulation studies are conducted to demonstrate proposed procedure, and the proposed model is applied in analyzing the impact of economic on stock market.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000471395700001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/252]
专题	上海财经大学
通讯作者	Huang, Yue
作者单位	Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Huang, Yue. Estimation and testing of nonparametric hidden Markov model with application in stock market[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2019.
APA	Huang, Yue.(2019).Estimation and testing of nonparametric hidden Markov model with application in stock market.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS.
MLA	Huang, Yue."Estimation and testing of nonparametric hidden Markov model with application in stock market".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS (2019).