Graphical model based on the Markov switch regime with application to security market
基于体制转换的图模型方法及其在证券市场的应用

The Markov switch regime model for the structures of graphs is introduced and the algorithm by the Markov chain Monte Carlo method is proposed.The graphical model is applied to the stock market of Shanghai in China to study the conditional dynamic relativities of five segments of the market,Empirical results show that the two states reflect high and low conditional correlation and the persistent probability of states is comparatively large.