how to generate a time series process follows Markov regime
Posted: Sun Oct 13, 2013 6:13 pm
Hi, everybody
I want to perform Monte Carlo simulation with Markov regime switching process?
How can I generate a series which follows a first-order Markov regime switching autoregressive model?
Thank you very much!
I want to perform Monte Carlo simulation with Markov regime switching process?
How can I generate a series which follows a first-order Markov regime switching autoregressive model?
Thank you very much!