Asymptotic Fisher information matrix of Markov switching VARMA models

DOI10.1016/j.jmva.2017.03.004zbMath1362.62014OpenAlexW2600353266MaRDI QIDQ2397135

Maddalena Cavicchioli

Publication date: 29 May 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.03.004

zbMATH Keywords

asymptotic covariance matrixGaussian maximum likelihood estimatorinformation matrix computationMarkov switching VARMAtime series with changes in regime

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10) Markov processes: hypothesis testing (62M02)

Related Items (10)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Impulse response function analysis for Markov switching VAR models ⋮ A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

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