Empirical Bayesian Markov Chain Model for Random Model Change
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In this short paper we consider long term binary prediction of stock market by using empirical Bayesian Markov chain model. Our empirical Bayesian MC model is designed to accommodate random change of MC over time. Surprisingly enough, it is shown that empirical Bayesian MC model is homogeneous and has limiting distribution though it accommodates random model change over time. Empirical works are given to illustrate usefulness of our results.
Abstract
In this short paper we consider long term binary prediction of stock market by using empirical Bayesian Markov chain model. Our empirical Bayesian MC model is designed to accommodate random change of MC over time. Surprisingly enough, it is shown that empirical Bayesian MC model is homogeneous and has limiting distribution though it accommodates random model change over time. Empirical works are given to illustrate usefulness of our results.
참고문헌 (15)
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