9 citations · 9 across the 1 of their papers we have counts for
2 papers
stat.CO2022★ 9 cited
A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
Timothée Bacri, Geir D. Berentsen, Jan Bulla +1
A very common way to estimate the parameters of a hidden Markov model (HMM) is the relatively straightforward computation of maximum likelihood (ML) estimates. For this task, most…
stat.ME2018
Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model
Geir D. Berentsen, Jan Bulla, Antonello Maruotti +1
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an u…