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 <[email protected]>: > 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 > [email protected] > http://lists.scilab.org/mailman/listinfo/users > >
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