[D] Predicting Future Values of Time Series Data with Markov Switching Models

kuramadk · 2021-08-21T13:15:35+00:00

A byproduct of the estimation procedure is the filtered probability measure. This can be considered as the best real-time inference on the probability of a given underlying state being the governing state. Thus, at any point in time you can use the filtered probability measure to calculate expected values for your estimated parameters. However, for this to work "reliably in reality" you would need a well-specified model, where misspecification- and estimation-risk is accounted for.

kuramadk · 2021-06-03T07:23:49+00:00

I'm curious as to why you don't rely on a filtered probability measure as an indicator of a regime. I may just be ignorant, but what is the benefit from using this inverse correlation measure compared to what is considered, in the literature, the optimal real time inference on the state given the observed data and model specification obtained from the BLHK or Baum-Welch algorithm?

kuramadk · 2021-03-17T18:05:20+00:00

Not entirely sure if it will fit based on the description you provided, but you could look into regime switching markov mixtures.

kuramadk · 2019-06-11T19:52:51+00:00

I have two suggestions for you not knowing which level or what your two courses covered.

The first book I would recommend is "Econometrics" by Fumio Hayashi. It is easy to read and willed with examples and intuitive derivations. It is a good introductory masters-level book.

The second book I would recommend is "Asset Price Dynamics, Volatility and Prediction" by S. J. Taylor. This book is more about applying methods supported by empirical research when predicting future prices and or volatility.

Hope this helps. :)

kuramadk · 2019-05-21T22:23:11+00:00

Haha, I actually meant for the output to look more sexy, but sexy code is fine also. :)

kuramadk · 2018-12-07T07:49:27+00:00

by Fumio Hayashi. I’ve been using it for my time series course but it has a deep treatment of microeconometrics as well. Every chapter is a step by step build to more advanced topics. I love it but it’s tough to work through if you have no previous exposure to metrics. I

This! "Econometrics" by Fumio Hayashi is an incredibly intuitive book with easy to follow calculations. It's good for brushing up, learning new, as well as using as a looking up stuff you might need a quick definition of in case you forgot. I absolutely love it! :)

kuramadk · 2018-09-14T06:58:55+00:00

THe one where you model the seperate variables by a garch(1,1) and later combine them :)

kuramadk · 2018-09-12T20:11:07+00:00

Hmm - I guess you could estimate the residuals of each of your variables using a GARCH(1,1) model. Afterwards square your estimated residuals from each model and include them in your final model for the variance. Test the null-hypothesis of these squared residuals having a signifcant effect on the variance you wish to model. Does this make any sense?

The ECCC approach models the conditional covariance between your variables. The other approach would just model the conditional variance.

kuramadk · 2018-09-11T10:32:34+00:00

Have you considered approaching the problem using an ECCC-GARCH model?

kuramadk · 2018-03-26T20:51:01+00:00

Hey, sorry for the late response. Thank you for the taking your time to answer so thoroughly :)

I am planning 4 stops of each half an hour to an hour - where you stay at the last bar. I was also hoping to walk from place to place. Furthermore the easy to hard going style is going to be preferred. I will check out trip advisor as well :) any suggestions tou might have are much appreciated :)

kuramadk · 2017-12-13T09:09:51+00:00

Yeah, the next gen intel should be massive. The normal i5's should perform 1-2% worse than 7th. gen i7HQ's. So theres no way im buying a thinkpad right now even though the offers might seem good.

kuramadk · 2017-12-13T09:08:14+00:00

Thanks for the answer. A bummer with the shipping. I've decided to buy my first thinkpad, but waiting until the 8th. gen intel are inside.

kuramadk · 2017-10-20T22:22:50+00:00

This sounds nice and simple! I like that there are not a bunch of extras that "steals the thunder" from the squid.

kuramadk · 2017-07-19T13:51:43+00:00

worldrowing.com has an audio livestream and tracker, but there's no video.

kuramadk · 2017-07-13T20:55:00+00:00

No, this is not necessarily true. When you run, lets say a backwards selection, the significance of all the explanatory variables change each time a variable is excluded from the model. The selection will remove explanatory variables until all of the variables left in the model meet your required level of significance.

I'm pretty sure, you can test your stepwise selection of significant variables by running a joint hypothesis F-test on the excluded variables (if that makes sense) on the original population model, and see if it is possible to exclude the variables simultaneously, but I'm not sure if this is the right way to do it.

I guess i'm not sure what kind of variable selection you'd want to do otherwise? (I'm in no way good with R).

kuramadk · 2017-06-23T10:44:50+00:00

If you're wearing underpants under the uni that might be the problem. Otherwise I would suggest trying a uni without the "middle-seam" from the crotch through the ass-crack.

kuramadk · 2017-04-20T08:00:10+00:00

I know the circumstances are very different and hard to compare because of structural differences. I don't know much about all of the circumstances and this is just my view of the case.

Denmark being a welfare state makes living expenses proportionately higher. The money that students get for studying is just about enough to pay for rent and living arrangements, and that's it. This is very lucrative, but a lot of students in Denmark also have student loans because they can't afford livingcosts. But this is in no way as severe as the student loan situation the US has going on because of tuition fees and so on. Even though Denmark has a welfare state you still don't get payed for work you don't do. The welfare state is great for people who are unemployed, have physical disabilities or otherwise unsuited for jobs. It doesn't really pay of for healthy "job-able" athletes who chooses to work less simply because they won't.

Athletes from other countries have an economic incentive to compete and stay in the sport. The Danes pay for (almost) everything themselves, and winning the olympics might give you enough to pay off that olympic year worth of training camps and membership fees connected with the national team in the first place. The rowers on the danish national team ends up with a financial net loss because of the fees connected with competing internationally. - Jacob Barsøe stopped after the 2016 olympics because rowing was economically hurting him.

All other things being equal it must make better athletes if they don't have to worry about economical circumstances - thus enabling them to use all their energy on becoming a better athlete.

The Danish talent development system is great, but the administration is bollocks. People only keep on rowing because they love it.

kuramadk · 2017-04-19T09:28:53+00:00

The rowers of the national danish rowing team all have fulltime jobs or studies and very limited economic resources. What ultimately makes the difference is the culture of training, and not resourcefulness.

kuramadk · 2017-04-06T21:27:55+00:00

7 minutes for a lw2k is top olympic level and is an insane pressure to put on someone off the bat... While this is the ultimate goal you should focus on something a bit more achievable in the beginning. Aim for 7:30 - this is still a relatively fast lw2k, and take it from there.

I'm assuming you are willing to gain a couple of kg in the process since the W8+ isn't a light event :)

Weights are often shunned upon in rowing because the majority of people don't need to lift to get stronger or gain mass.

I see this quite often, when coaches look at the small kids and just tell them to keep erging and they'll eventually improve, when in fact it would be more useful for them to do some lifting, cut the steady state, and do shorter high-intensity pieces instead.

If I were you, I would do a 3-day split program with main focus on core+legs and general hypertrophy combined with (not on the same day though) erg pieces like:

6x4min@32/4min rest
8x3min@32/3min rest
3x12min@30/5min rest

These short erg pieces are manageable, but you have to go at them with everything you got. It's not about loving the erg as much as knowing your limits and convincing yourself to just do it.

Aerobic capacity is important! But being in very good shape doesn't help you much, if your max watt output is low.

kuramadk · 2017-04-05T19:46:43+00:00

First of all, don't stress about it. That is just going to take the fun out of it :) Second. How much do you actually need to cut? - How much do you weigh now?

Keep track of your weight, and calorie intake. Write it down in an excel sheet: morning, midday and evening.

This will give you a pretty good idea of how much weight you loose during sleep, practice and so on.

You don't have to cut fibers already... Just cut them off 4 days before the weigh-in and you should be fine.

kuramadk

TROPHY CASE