Project CEMAPRE internal
|Title||Application of nonlinear regression models to Markov Chain estimation|
|Participants||Vasco Oliveira, Nicoletta Rosati (Principal Investigator), Pedro Verga Matos|
|Summary||In this project we propose the study of a regression approach to the estimation of transition|
probabilities of a Markov Chain as a function of a set of explanatory variables. This approach
allows the study of the impact of changes in regressors on the dynamics of the Markov Chain, and its
reaction at different percentiles of the regressors' distribution.