Section: New Results

Non–homogeneous Markov–switching models

Participant : Valérie Monbet.

This is a collaboration with Pierre Ailliot (université de Bretagne occidentale, Brest).

We have developped various hidden non–homogeneous Markov–switching models for description and simulation of univariate and multivariate time series. Considered application are in weather variables modelling but also in economy. The main originality of the proposed models is that the hidden Markov chain is not homogeneous, its evolution depending on the past wind conditions or other covariates. It is shown that it permits to reproduce complex non–linearities.