most citedA gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder

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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…