Structure of a double autoregressive process driven by a hidden Markov chain

DOI10.1016/j.spl.2012.04.001zbMath1254.60038OpenAlexW2001312458MaRDI QIDQ449432

Ji-Chun Liu

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.04.001

zbMATH Keywords

momentsgeometric ergodicitystrict stationarityMarkov-switching AR-ARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05)

Related Items (1)

On a vector double autoregressive model

Cites Work

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