Applications of regime-switching models based on aggregation operators

Jozef Komorník; Magda Komorníková

Kybernetika (2007)

  • Volume: 43, Issue: 4, page 431-442
  • ISSN: 0023-5954

Abstract

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A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.

How to cite

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Komorník, Jozef, and Komorníková, Magda. "Applications of regime-switching models based on aggregation operators." Kybernetika 43.4 (2007): 431-442. <http://eudml.org/doc/33868>.

@article{Komorník2007,
abstract = {A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.},
author = {Komorník, Jozef, Komorníková, Magda},
journal = {Kybernetika},
keywords = {time series; regime-switching model; aggregation operator; model adequacy testing; time series; regime-switching model; aggregation operator; model adequacy; testing},
language = {eng},
number = {4},
pages = {431-442},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Applications of regime-switching models based on aggregation operators},
url = {http://eudml.org/doc/33868},
volume = {43},
year = {2007},
}

TY - JOUR
AU - Komorník, Jozef
AU - Komorníková, Magda
TI - Applications of regime-switching models based on aggregation operators
JO - Kybernetika
PY - 2007
PB - Institute of Information Theory and Automation AS CR
VL - 43
IS - 4
SP - 431
EP - 442
AB - A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.
LA - eng
KW - time series; regime-switching model; aggregation operator; model adequacy testing; time series; regime-switching model; aggregation operator; model adequacy; testing
UR - http://eudml.org/doc/33868
ER -

References

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  11. Komorníková M., Komorník J., Application of aggregation operators in regime-switching models for exchange rates, In: Proc. EUSFLAT-LFA 2005, Barcelona 2005, pp. 1297–1300 
  12. Komorník J., Komorníková, M., Szökeová D., Testing the adequacy of regime-switching time series models nased on aggregation pperators, Submitted 
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