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20182023
most citedA gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder

9 citations · 11 across the 4 of their papers we have counts for

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2 papers · 1 filter

stat.ME2023

Testing for asymmetric dependency structures in financial markets: regime-switching and local Gaussian correlation

Kristian Gundersen, Timothée Bacri, Jan Bulla +2

This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and t…

stat.CO2023

Computational issues in parameter estimation for hidden Markov models with Template Model Builder

Timothée Bacri, Geir D. Berentsen, Jan Bulla +1

A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB…