Penalized estimate of the number of states in Gaussian linear AR with Markov regime

DOI10.1214/08-EJS272zbMath1320.62194arXiv0807.2726OpenAlexW3105146873MaRDI QIDQ1951792

Luis-Angel Rodríguez, Ricardo Rios

Publication date: 24 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.2726

zbMATH Keywords

autoregressive processespenalized maximum likelihoodhidden Markov chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS ⋮ A proof of consistency of the MLE for nonlinear Markov-switching AR processes ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

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