Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Continuous-time Markov-switching GARCH Process with Robust and Efficient
  State Path and Volatility Estimation   We propose a continuous-time Markov-switching generalized autoregressive
conditional heteroskedasticity (COMS-GARCH) process for handling irregularly
spaced time series (TS) with multiple volatilities states. We employ a Gibbs
sampler in the Bayesian framework to estimate the COMS-GARCH model parameters,
the latent state path and volatilities. To improve the inferential robustness
and computational efficiency for obtaining the maximum a posteriori estimates
for the state path and volatilities, we suggest a multi-path sampling scheme
and incorporate the Bernoulli noise injection in the computational algorithm.
We provide theoretical justifications for the improved stability and robustness
with the Bernoulli noise injection through the concept of ensemble learning and
the low sensitivity of the objective function to external perturbation in the
TS. We apply the proposed COMS-GARCH process and the computational procedure to
simulated TS, a real currency exchange rate TS, and a real blood volume
amplitude TS. The empirical results demonstrate that the COMS-GARCH process and
the computational procedure are able to predict volatility regimes and
volatilities in a TS with satisfactory accuracy.

12
The categories of this paper are: nucl-th
0
The categories of this paper are: hep-ph
19
The categories of this paper are: eess
22
The categories of this paper are: chao-dyn
3
The categories of this paper are: physics
20
The categories of this paper are: acc-phys
29
The categories of this paper are: funct-an
4
The categories of this paper are: cond-mat
28
The categories of this paper are: alg-geom
5
The categories of this paper are: gr-qc
32
The categories of this paper are: atom-ph
1
The categories of this paper are: cs
10
The categories of this paper are: q-bio
25
The categories of this paper are: patt-sol
31
The categories of this paper are: ao-sci
35
The categories of this paper are: mtrl-th