hal-00707136, version 1
An application of regime-switching models to historical data
International Conference on Operations Research (2012)
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http://lamop.univ-paris1.fr/
CNRS : UMR8589 – Université Paris I - Panthéon-Sorbonne 1 rue Victor Cousin 75005 Paris France - 2 :
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http://samm.univ-paris1.fr/
Université Paris I - Panthéon-Sorbonne Centre Pierre Mendès France 90 Rue de Tolbiac - 75634 Paris Cedex 13 France
Références bibliographiques
- Type de publication : Communications sans actes
- Domaine : Statistiques/Applications
- Titre : An application of regime-switching models to historical data
- Résumé : This paper is devoted to an application of hidden Markov models to historical data. Empirical observations showed that periods of conflict are characterized by an important increase of the norm. A segmentation of the data should bring some elements of answer to the following questions : are there synchronous periods when comparing the normative production with the situations of war? Or are there discordances between the two that can inform us on the State politics? The data we had to deal with was very specific and we propose two new models to analyze it. In the first one, we introduce a zero-inflated Poisson distribution in the context of hidden Markov models. The second model generalizes integer-valued autoregressive processes by adding a hidden Markov chain.
- Langue du texte
intégral : Anglais - Date de production,
écriture : 2012 - Audience : internationale
- Titre de la conférence : International Conference on Operations Research
- Date de la conférence : 2012
- Pays : Cuba
- hal-00707136, version 1
- http://hal.archives-ouvertes.fr/hal-00707136
- oai:hal.archives-ouvertes.fr:hal-00707136
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- Soumis le : Mardi 12 Juin 2012, 09:35:58
- Dernière modification le : Mardi 12 Juin 2012, 09:35:58
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