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

Marie-Thérèse Boyer-Xambeu, Ghislain Deleplace, Patrice Gaubert, Lucien Gillard and Madalina Olteanu ()
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Marie-Thérèse Boyer-Xambeu: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis
Ghislain Deleplace: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis
Lucien Gillard: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis
Madalina Olteanu: SAMOS - Statistique Appliquée et MOdélisation Stochastique - UP1 - Université Paris 1 Panthéon-Sorbonne, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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
Note: View the original document on HAL open archive server: https://hal.science/hal-00176083v1
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Published in Francisco Sandoval, Alberto Prieto, Joan Cabestany, Manuel Grana. Computational and Ambient Intelligence, Springer, pp.547-555, 2007, LNCS 4507

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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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