During the summer, I am going to implement Kim Filter, which is broadly used for regime switching state-space models evaluation, on top of existing Kalman Filter. I will also create a bunch of well-tested, ready-to-use models with regime switching, including MS-AR, MS-DFM and MS-TVP.

Student

Valera Likhosherstov

Mentors

  • Kevin Sheppard
  • cfulton
  • Josef Perktold
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2016