Hidden Markov Models in Analysis of Results of Business Tendency Surveys
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Abstract
The paper considers the possibility of using the Viterbi algorithm to analyse results of the RIED WSE business surveys in the manufacturing industry.The analysis was focused on the state balances. The hidden Markov models with conditional normal distributions were applied. There were considered models with two-state and three-state Markov chains. The results were compared with the timing of turning points taken from other sources. The tested models were compared in terms of effectiveness in detecting of coming changes in economic conditions. The analysis suggests models with three-state Markov chains be used. The results also suggest that it is necessary to take into account a delay between the opinions of survey respondents and changes in economic climate. (original abstract)
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References
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