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On improving the forecast accuracy of the hidden Markov model
The forecast accuracy of a hidden Markov model (HMM) may be low due first, to the measure of forecast accuracy being ignored in the parameterestimation method and, second, to overfitting caused by the large number of parameters that must be estimated. A general approach to forecasting is described w...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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