[Scilab-users] Grocer: Estimation of a Sequence of States

[dnayak]

Hi Eric,

Thanks for the information. However, after going through the function
ms_var_oos, I feel it runs the Markov-switching VAR model estimated over
one period of time on another period and compares the results.

However, I need a function that will estimate for me the sequence of
regimes/states that the data goes through. So, what I need is to first
estimate the parameters for the Markov-switching VAR model, i.e. train the
model on a time-series data set X and then use the same parameters to
estimate the regimes that every instant of X falls into. For example, it
should give me something like - 1. Data for time instant 1 falls in Regime
2; 2. Data for time instant 2 falls in Regime 4; and so on.

Can Grocer do that?

Thanks,
Deb

On Mon, Mar 30, 2015 at 12:57 PM, Eric Dubois [via Scilab / Xcos - Mailing
Lists Archives] <ml-node+s994242n4031999h82 at n3.nabble.com> wrote:

> Hello.
>
> The function ms_var_oos that has been introduced in Grocer 1.66 is
> probably what you need.
>
> See help ms_var_oos for a description of the function.
>
> Eric
> Le 30 mars 2015 17:30, "dnayak" <[hidden email]
> <http:///user/SendEmail.jtp?type=node&node=4031999&i=0>> a écrit :
>
>> Hi,
>>
>> I have been using Grocer for some time now for the estimation of HMM-VAR
>> parameters. However, I have a different problem now.
>>
>> Suppose, I have estimated the parameters of an HMM-VAR. Now, I want to use
>> those parameters to estimate the sequence of states in a given time-series
>> data. This may or may not be the data used to obtain the parameters.
>>
>> Is there any function, that is able to do that?
>>
>> Thanks,
>> Deb
>>
>>
>>
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