On using fuzzy clustering for detecting the number of states in Markov switching models

IF 4.5 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Edoardo Otranto, Luca Scaffidi Domianello
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引用次数: 0

Abstract

An open problem of Markov switching models is identifying the number of states, generally fixed a priori; it is impossible to apply classical tests due to the issue of the nuisance parameters present only under the alternative hypothesis. In this work, we show, by Monte Carlo simulations, that fuzzy clustering is able to reproduce the parametric state inference derived from the Hamilton filter and that the typical indices used in clustering to determine the number of groups can be used to identify the number of states in this framework. The procedure is very simple to apply, considering that it is performed independently of the data generating process and that the indicators we use are available in most statistical packages. Furthermore, the proposed approach appears to be sufficiently robust to perturbations in the data generating processes. A final application of real data completes the analysis.

用模糊聚类检测马尔可夫切换模型的状态数
马尔可夫切换模型的一个开放问题是识别状态的数量,通常是先验固定的;由于只有在备选假设下才存在干扰参数的问题,不可能应用经典检验。在这项工作中,我们通过蒙特卡罗模拟表明,模糊聚类能够再现从汉密尔顿滤波器导出的参数状态推断,并且聚类中用于确定组数的典型指标可用于识别该框架中的状态数。考虑到该程序是独立于数据生成过程进行的,而且我们使用的指标在大多数统计软件包中都有,因此应用该程序非常简单。此外,所提出的方法似乎对数据生成过程中的扰动具有足够的鲁棒性。最后使用实际数据完成分析。
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来源期刊
Annals of Operations Research
Annals of Operations Research 管理科学-运筹学与管理科学
CiteScore
7.90
自引率
16.70%
发文量
596
审稿时长
8.4 months
期刊介绍: The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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