<div dir="ltr">Hi Deb.<div><br></div><div>I am not sure to understand:</div><div>- 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;</div><div>- the output from ms_var_oos provides the same results, but on any period (in or out of sample).</div><div><br></div><div>Isn't it what you search?</div><div><br></div><div>Éric.</div></div><div class="gmail_extra"><br><div class="gmail_quote">2015-04-01 19:05 GMT+02:00 dnayak <span dir="ltr"><<a href="mailto:dnayak@ncsu.edu" target="_blank">dnayak@ncsu.edu</a>></span>:<br><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><div dir="ltr">Hi Eric,<div><br></div><div>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.</div><div><br></div><div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap">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.</span></font></div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap"><br></span></font></div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap">Can Grocer do that?</span></font></div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap"><br></span></font></div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap">Thanks,</span></font></div><div><font face="arial, helvetica, sans-serif"><span style="white-space:pre-wrap">Deb</span></font></div>
</div></div><div class="gmail_extra"><br><div class="gmail_quote"><span class="">On Mon, Mar 30, 2015 at 12:57 PM, Eric Dubois [via Scilab / Xcos - Mailing Lists Archives] <span dir="ltr"><<a href="http:///user/SendEmail.jtp?type=node&node=4032031&i=0" rel="nofollow" link="external" target="_blank">[hidden email]</a>></span> wrote:<br></span><blockquote style="border-left:2px solid #cccccc;padding:0 1em" class="gmail_quote">
<div dir="ltr"><span class=""><span><p dir="ltr">Hello.</p><p dir="ltr">The function ms_var_oos that has been introduced in Grocer 1.66 is probably what you need.<br></p><p>See help ms_var_oos for a description of the function.</p><p>Eric<br></p>
</span></span><div class="gmail_quote"><span class=""><span>Le 30 mars 2015 17:30, "dnayak" <<a href="http:///user/SendEmail.jtp?type=node&node=4031999&i=0" rel="nofollow" link="external" target="_blank">[hidden email]</a>> a écrit :<br type="attribution"></span></span><blockquote style="border-left:2px solid #cccccc;padding:0 1em" class="gmail_quote"><span class=""><span>Hi,<br>
<br>
I have been using Grocer for some time now for the estimation of HMM-VAR<br>
parameters. However, I have a different problem now.<br>
<br>
Suppose, I have estimated the parameters of an HMM-VAR. Now, I want to use<br>
those parameters to estimate the sequence of states in a given time-series<br>
data. This may or may not be the data used to obtain the parameters.<br>
<br>
Is there any function, that is able to do that?<br>
<br>
Thanks,<br>
Deb<br>
<br>
<br>
<br>
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