Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History

Marie-Th\'er\`ese Boyer-Xambeu, Ghislain Deleplace, Patrice Gaubert, Lucien Gillard and Madalina Olteanu
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Marie-Th\'er\`ese Boyer-Xambeu: LED - EA3391
Ghislain Deleplace: LED - EA3391
Lucien Gillard: LED - EA3391
Madalina Olteanu: SAMOS

Papers from arXiv.org

Abstract: The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the highest and the lowest among the London, Hamburg and Paris gold-silver prices. Three algorithms are combined to study this integration: a periodization obtained with the SOM algorithm is confronted to the estimation of a two-regime Markov switching model, in order to give an interpretation of the changes of regime; in the same time change-points are identified over the whole period providing a more precise interpretation of the various types of regulation.

Date: 2007-10
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Published in Computational and Ambient Intelligence, Springer (Ed.) (2007) 547-555

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http://arxiv.org/pdf/0710.0745 Latest version (application/pdf)

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Working Paper: Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History (2007)
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