TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS

Abstract

For vector autoregressive models RS-VARX with cyclic regime switching of states the method of excluding of short-term system state fluctuations is proposed. The method is based on a sequential application of two algorithms, realizing the Bayesian “plug-in” decision rule of point wise classification and a statistical test for expected probability of misclassification. Accuracy of the approach is examined by means of computer simulation experiments.