Stationnarité des modèles ARMA à changement de régime markovien

DOI10.1016/S0764-4442(00)00302-5zbMath0956.62077OpenAlexW2049969435MaRDI QIDQ4498356

Jean-Michel Zakoian, Christian Francq

Publication date: 9 November 2000

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)00302-5

zbMATH Keywords

stationaritymultivariate ARMA modelsMarkov-switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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