Estimating ARMA models with recurrent regime changes
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Publication:1876898
DOI10.1016/j.crma.2004.04.014zbMath1043.62072OpenAlexW2171328655MaRDI QIDQ1876898
Christian Francq, Antony Gautier
Publication date: 20 August 2004
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2004.04.014
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
- Estimation of time-varying ARMA models with Markovian changes in regime
- Consistent and asymptotically normal estimators for cyclically time-dependent linear models
- Large Sample Properties of Parameter Estimates for Periodic ARMA Models
- PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
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