Markov switching models



What are some reference sources for understanding Markov switching models?


Posted 2016-02-08T19:55:06.057

Reputation: 23



Firstly, for understanding the Markov switching models, a nice knowledge of Markov models and the way they work. Most importantly, an idea of time series models and how they work, is very important.

I found this tutorial good enough for getting up to speed with the concept.

This is another tutorial on a similar application of the switching model, which is the regime switching model.

The statsmodels library has a nice support for building the Morkov switching models.

Here is one simple and quick Python tutorial which uses the statsmodels library.


Posted 2016-02-08T19:55:06.057

Reputation: 7 606


The link to the Python tutorial is broken, the code can be found here:

– Zhubarb – 2017-02-22T08:34:10.017

1How to forecast future values using markov regression, I am using statsmodel API? – yogesh agrawal – 2020-01-09T06:08:43.740

1@yogeshagrawal Have you found out how to? I was working with MarkovRegression and MarkovAutoregression today but encountered NotImplementedException... – matt – 2020-04-26T12:59:05.623

sorry i couldn't found out @matt – yogesh agrawal – 2020-04-27T04:27:04.000