TY - CHAP
T1 - Dynamic Log-Linear Probability Model with Interactions
AU - Gouriéroux, Christian
AU - Meddahi, Nour
N1 - Publisher Copyright:
© The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.
PY - 2025/1/1
Y1 - 2025/1/1
N2 - The log-linear probability model has been initially introduced by Nerlove and Press (1973) for the analysis of contingency tables constructed from business survey data. We extend this modelling approach to the dynamic analysis of multivariate qualitative processes with the application to technical analysis of financial returns in mind. We develop the dynamic qualitative models with pairwise and/or three-wise interactions, discuss the interpretations of the interaction parameters,study the filtering and prediction algorithms, and compare the approach to machine learning models as the restricted Boltzmann machine and the normalizing flows.
AB - The log-linear probability model has been initially introduced by Nerlove and Press (1973) for the analysis of contingency tables constructed from business survey data. We extend this modelling approach to the dynamic analysis of multivariate qualitative processes with the application to technical analysis of financial returns in mind. We develop the dynamic qualitative models with pairwise and/or three-wise interactions, discuss the interpretations of the interaction parameters,study the filtering and prediction algorithms, and compare the approach to machine learning models as the restricted Boltzmann machine and the normalizing flows.
UR - https://www.scopus.com/pages/publications/105007045165
U2 - 10.1007/978-3-031-92699-0_17
DO - 10.1007/978-3-031-92699-0_17
M3 - Chapter
AN - SCOPUS:105007045165
T3 - Advanced Studies in Theoretical and Applied Econometrics
SP - 453
EP - 473
BT - Advanced Studies in Theoretical and Applied Econometrics
PB - Springer Science and Business Media Deutschland GmbH
ER -