On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing

DOI10.1080/17442508.2015.1019881zbMath1343.62054OpenAlexW1909798275MaRDI QIDQ2804016

Abdelouahab Bibi, Ahmed Ghezal

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1019881

zbMATH Keywords

\(\beta\)-mixingstationaryARMA representationMarkov-switching bilinear processesgeometric egodicity

Mathematics Subject Classification ID

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

Related Items (6)

Spectral representation and autocovariance structure of Markov switching DSGE 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 ⋮ Markov-switching BILINEAR − GARCH models: Structure and estimation ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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