In this
paper, we will illustrate the use and power of Hidden Markov models in
analyzing multivariate data over time. The data used in this study was obtained
from the Organization for Economic Co-operation and Development (OECD.Stat database url: https://stats.oecd.org/) and
encompassed monthly data on the employment rate of males and females in Canada and the
United States (aged 15 years and over; seasonally adjusted from January 1995 to
July 2018). Two
different underlying patterns of trends in employment over the 23 years observation period were
uncovered.
References
[1]
The Organization for Economic Co-Operation and Development (OECD).
https://stats.oecd.org/
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Laverty, W.H., Miket, M.J. and Kelly, I.W. (2002) Examination of Residuals to Vancouver Crisis Call Data by Using Hidden Markov Models. Perceptual and Motor Skills, 94, 548-550. https://doi.org/10.2466/pms.2002.94.2.548
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Lihn, S. (Forthcoming) Hidden Markov Model for Financial Time Series and Its Application to S & P 500 Index. Quantitative Finance.
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