Estimation of time-varying ARMA models with Markovian changes in regime

DOI10.1016/J.SPL.2004.10.009zbMath1095.62108OpenAlexW2139644297MaRDI QIDQ1767737

Christian Francq, Antony Gautier

Publication date: 8 March 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.009

zbMATH Keywords

Asymptotic covariance matrixNon-stationary processesMarkovian changes in regimeQuasi-generalized least-squares estimatorTime-varying ARMA models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Estimating ARMA models with recurrent regime changes ⋮ Temporally local maximum likelihood with application to SIS model ⋮ Estimation of weak ARMA models with regime changes ⋮ Large sample properties of parameter least squares estimates for time‐varying arma models ⋮ Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs ⋮ Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model

Cites Work

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• Periodic moving averages of random variables with regularly varying tails
• Consistent and asymptotically normal estimators for cyclically time-dependent linear models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Stationarity of multivariate Markov-switching ARMA models

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