MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes

Joanna Janczura and Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: MRS3_PLOT(KSI_TT,DATA) generates a figure with three panels visualizing calibration results for a Markov regime-switching (MRS) model with 3 regimes fitted to time series DATA. In the middle and bottom panels probabilities KSI_TT that an observation comes from the spike (i.e. second) or the drop (i.e. third) regimes, respectively, are plotted. In the top panel the time series is displayed with observations identified as belonging to the spike regime (i.e. having KSI_TT(:,2)>0.5) marked by red dots and with observations identified as belonging to the drop regime (i.e. having KSI_TT(:,3)>0.5) marked by black x's. MRS3_PLOT(KSI_TT,DATA,YLAB,XLAB,TIT,POS) allows to specify ylabel (YLAB), xlabel (XLAB), title (TIT) and position of the plot (POS=1 for left panel, POS=2 for right panel and POS=0 for the whole figure).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Markov regime-switching (MRS) model; Sample trajectory; Calibration. (search for similar items in EconPapers)
Date: 2011-10-10
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