A transitional Markov switching autoregressive model

DOI10.1080/03610926.2014.894065zbMath1342.62145OpenAlexW2337841441MaRDI QIDQ2815965

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Publication date: 30 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.894065

zbMATH Keywords

stationary time seriesautocovariance structurefilter and smoothed probabilitiesMarkov switching autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

Related Items (1)

Spectral representation and autocovariance structure of Markov switching DSGE models

Cites Work

• Markov-switching model selection using Kullback-Leibler divergence
• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Specification testing in Markov-switching time-series models
• Moments of Markov switching models
• Model Selection in Threshold Models
• Bartlett's formula for a general class of nonlinear processes
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Stationarity of multivariate Markov-switching ARMA models

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