particle-filters

includes original particle filter, auxiliary particle filter and auxiliary particle filter with parameters estimatioin

regime-switching-dynamic-factor-model

dynamic factor model with two state Markov switching estimation with Gibbs sampling

Dynamic-Correlation-of-Business-Cycles

Two ways to value the synchronization between two business cycles, including C-M index and Wavelets Coherency.

Regime-Switching-Interdependence-Framework

followed and thanks to Danilo Leiva-Leon（2017）