In this paper we focus on one of the most important issues for autonomous mobile robots: their ability to localize themselves safely and reliably within their environments. We propose a probabilistic franiework for modelling the robot’s state and sensory information based on a Switching State-Space Model. The proposed framework generalizes two of the most successful probabilistic model families...

This paper analyzes the application of the Markov-switching ARCH model (Hamilton and Susmel, 1994) in improving value-at-risk (VaR) forecast. By considering a mixture of normal distributions with varying variances over different time and regimes, we find that the “spurious high persistence” found in the GARCH model is adjusted. Under relative performance and hypothesis-testing evaluations, the ...

a r t i c l e i n f o Keywords: Markov switching model Optimal number of states S&P 500 returns A stock market is traditionally considered to shift between bull and bear markets, reflecting the states of high mean and low mean in stock returns, respectively. In this paper, we attempt to detect more different states in a stock market by applying a Bayesian Markov switching model, where the optim...