Time-series model with periodic stochastic regime switching. I: Theory (Q2704141)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-series model with periodic stochastic regime switching. I: Theory |
scientific article |
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18 February 2002
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Markov regime-switching models
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periodic ARMA processes
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time series
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0.96126497
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0.91374004
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0.89826113
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0.88080895
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0.8699594
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Time-series model with periodic stochastic regime switching. I: Theory (English)
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The author studies time-series with periodic stochastic regime switching. A case of periodic transition probabilities and seasonal drifts is considered. Regularity conditions, estimating and testing are discussed. The model could be applied to describe interactions between seasonal and so-called business cycles.
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