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

[Eric Dubois]

Hi Deb.

I am not sure to understand:
- the output from ms_var, a results tlist, contains field 'smoothed probs'
and 'filteed probs' that provides the (smoothed and filtered) probabilities
of the corresponding states on the estimation period;
- the output from ms_var_oos provides the same results, but on any period
(in or out of sample).

Isn't it what you search?

Éric.

2015-04-01 19:05 GMT+02:00 dnayak <dnayak at ncsu.edu>:

> 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] <[hidden email]
> <http:///user/SendEmail.jtp?type=node&node=4032031&i=0>> 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
>>>
>>>
>>>
>>> --
>>> View this message in context:
>>> http://mailinglists.scilab.org/Grocer-Estimation-of-a-Sequence-of-States-tp4031997.html
>>> Sent from the Scilab users - Mailing Lists Archives mailing list archive
>>> at Nabble.com.
>>> _______________________________________________
>>> users mailing list
>>> [hidden email] <http:///user/SendEmail.jtp?type=node&node=4031999&i=1>
>>> http://lists.scilab.org/mailman/listinfo/users
>>>
>>
>> _______________________________________________
>> users mailing list
>> [hidden email] <http:///user/SendEmail.jtp?type=node&node=4031999&i=2>
>> http://lists.scilab.org/mailman/listinfo/users
>>
>>
>> ------------------------------
>>  If you reply to this email, your message will be added to the
>> discussion below:
>>
>> http://mailinglists.scilab.org/Grocer-Estimation-of-a-Sequence-of-States-tp4031997p4031999.html
>>  To unsubscribe from Grocer: Estimation of a Sequence of States, click
>> here.
>> NAML
>> <http://mailinglists.scilab.org/template/NamlServlet.jtp?macro=macro_viewer&id=instant_html%21nabble%3Aemail.naml&base=nabble.naml.namespaces.BasicNamespace-nabble.view.web.template.NabbleNamespace-nabble.view.web.template.NodeNamespace&breadcrumbs=notify_subscribers%21nabble%3Aemail.naml-instant_emails%21nabble%3Aemail.naml-send_instant_email%21nabble%3Aemail.naml>
>>
>
>
> ------------------------------
> View this message in context: Re: Grocer: Estimation of a Sequence of
> States
> <http://mailinglists.scilab.org/Grocer-Estimation-of-a-Sequence-of-States-tp4031997p4032031.html>
>
> Sent from the Scilab users - Mailing Lists Archives mailing list archive
> <http://mailinglists.scilab.org/Scilab-users-Mailing-Lists-Archives-f2602246.html>
> at Nabble.com.
>
> _______________________________________________
> users mailing list
> users at lists.scilab.org
> http://lists.scilab.org/mailman/listinfo/users
>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://lists.scilab.org/pipermail/users/attachments/20150401/d1f25460/attachment.htm>