At1uri/markov-switching-autoregressive-engine
time-series-forecasting model by At1uri
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Model card & documentation
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A statistical machine learning and econometric inference engine developed by Ramprasad Atluri implementing the Hamilton (1989) forward filter and Kim (1994) backward smoothing algorithm for non-linear market regime detection. Financial asset returns exhibit state-dependent structural shifts in both conditional mean and conditional variance (heteroskedasticity). This model parametrizes market dynamics as a 3-State Markov-Switching Autoregressive model $\text{MS}(3)\text{-AR}(1)$: $yt - \mu{St} = \phi{St} (y{t-1} - \mu{S{t-1}}) + \epsilont, \quad \epsilont \sim \text{i.i.d.} \, \mathcal{N}(0, \sigma{St}^2)$ Where $St \in \{0, 1, 2\}$ represents the unobserved latent market regime governed by a first-order Markov chain with transition probability kernel $\mathbf{P}$: $\mathbf{P} = \begin{pmatrix} p{00} & p{01} & p{02} \\ p{10} & p{11} & p{12} \\ p{20} & p{21} & p{22} \end{pmatrix} = \begin{pmatrix} 0.9602 & 0.0348 & 0.0050 \\ 0.0489 & 0.9212 & 0.0299 \\ 0.0392 & 0.1185 & 0.8423 \end{pmatrix}$ The stationary unconditional distribution solves the eigensystem $(\mathbf{P}^\top - \mathbf{I})\boldsymbol{\pi} = \mathbf{0}$ subject…
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Inside the original model card — Document outline
- ⚡ Hamilton Markov-Switching Autoregressive Engine
- 📌 Mathematical & Econometric Architecture
- Unconditional Ergodic Distribution ($\boldsymbol{\pi}$):
- 🔬 Recursive Filter Formulation
- 1. Hamilton Forward Filter (1989)
- 2. Kim Backward Smoother (1994)
- 🚀 Quick Start in Python
- Full Inference with hamiltonfilter.py:
- 📊 Calibrated State Parameter Estimates
- ⚖️ License
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Model overview
At1uri/markov-switching-autoregressive-engine is a time-series-forecasting model repository published by At1uri on Hugging Face. The source reports the scikit-learn library.
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Model facts
- Task
- time-series-forecasting
- Library
- scikit-learn
- Recent downloads (30 days)
- 0
- Cumulative likes
- 0
- Hugging Face trending score
- 0
- Reported safetensors parameters
- Not reported
- Architecture
- Not reported
- License
- mit
- Access
- Not gated by Hugging Face
- Created
- 2026-11-05T06:37:38.000Z
- Last modified
- 2026-11-05T06:37:39.000Z
Compatibility and lineage
Reported languages: en
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