Minimum distance estimation of Markov-switching bilinear processes

DOI10.1080/02331888.2016.1229783zbMath1356.62120OpenAlexW2520337943MaRDI QIDQ2953974

Abdelouahab Bibi, Ahmed Ghezal

Publication date: 11 January 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1229783

zbMATH Keywords

minimum distance estimationsecond-order stationarityMarkov-switching bilinear processes\(q\)-dependent Markov chain

Mathematics Subject Classification ID

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

Related Items (1)

Unnamed Item

Cites Work

• Unnamed Item
• Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
• Hellinger distance estimation of general bilinear time series models
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
• A minimum distance estimator for long-memory processes
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• Inference in hidden Markov models.
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
• On an independent and identically distributed mixture bilinear time-series model
• Asymptotic properties for the first-order bilinear time series model
• Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
• CONSISTENT AND ASYMPTOTICALLY NORMAL ESTIMATORS FOR PERIODIC BILINEAR MODELS
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• Some remarks on bilinear time series models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• Stationarity of multivariate Markov-switching ARMA models

This page was built for publication: Minimum distance estimation of Markov-switching bilinear processes