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Stationarity of multivariate Markov-switching ARMA models - MaRDI portal

Stationarity of multivariate Markov-switching ARMA models (Q5942686)

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scientific article; zbMATH DE number 1643362
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English
Stationarity of multivariate Markov-switching ARMA models
scientific article; zbMATH DE number 1643362

    Statements

    title
    Stationarity of multivariate Markov-switching ARMA models (English)
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    author
    Christian Francq
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    Jean-Michel Zakoian
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    publication date
    19 March 2002
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    Mathematics Subject Classification ID
    62M10
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    65C05
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    62M05
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    zbMATH DE Number
    1643362
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    zbMATH Keywords
    multivariate ARMA models
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    regime-switching models
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    Markov-switching models
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    second-order stationary time series
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    cites work
    Q4267796
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    Q4323296
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    Q4840212
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    Q3222981
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    Q3790455
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    OpenAlex ID
    W2017097671
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    Wikidata QID
    Q127374643
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