Estimation of time-varying ARMA models with Markovian changes in regime (Q1767737)
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scientific article; zbMATH DE number 2142295
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of time-varying ARMA models with Markovian changes in regime |
scientific article; zbMATH DE number 2142295 |
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Estimation of time-varying ARMA models with Markovian changes in regime (English)
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8 March 2005
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Time-varying ARMA models
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Non-stationary processes
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Quasi-generalized least-squares estimator
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Asymptotic covariance matrix
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Markovian changes in regime
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