Parameter estimation of Markov switching bilinear model using the (EM) algorithm

DOI10.1016/J.JSPI.2017.07.002zbMath1377.62172OpenAlexW2743705917MaRDI QIDQ1680935

M. Maaziz, Soumia Kharfouchi

Publication date: 17 November 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.07.002

zbMATH Keywords

maximum likelihoodMarkov-switchingbilinear models(EM) algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Markov processes: hypothesis testing (62M02)

Cites Work

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