A note on testing regime switching assumption based on recurrence times

DOI10.1016/J.SPL.2009.08.025zbMath1176.62078OpenAlexW1989313944MaRDI QIDQ1041700

Rituparna Sen, Fushing Hsieh

Publication date: 4 December 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.025

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

Related Items (2)

Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices ⋮ A new structure entropy of complex networks based on nonextensive statistical mechanics and similarity of nodes

Uses Software

• K2

Cites Work

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