CAJ | 학술논문

提出了新的基于体制转换模型的图模型方法．首先给出精度矩阵参数化方法，且通过MCMC方法给出算法设计，然后将该图模型方法应用于我国上海证券市场，研究五大行业板块之间的动态条件相关性．实证结果表明：两状态图结构恰好体现高、低不同的条件相关性，且状态持续的概率较大．
제출료신적기우체제전환모형적도모형방법．수선급출정도구진삼수화방법，차통과MCMC방법급출산법설계，연후장해도모형방법응용우아국상해증권시장，연구오대행업판괴지간적동태조건상관성．실증결과표명：량상태도결구흡호체현고、저불동적조건상관성，차상태지속적개솔교대．
The Markov switch regime model for the structures of graphs is introduced and the algorithm by the Markov chain Monte Carlo method is proposed. The graphical model is applied to the stock market of Shanghai in China to study the conditional dynamic relativities of five segments of the market, Empirical results show that the two states reflect high and low of states is comparatively large. conditional correlation and the persistent probability of states is comparatively large.