Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
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Publication:4666707
zbMATH Open1067.62089arXiv0802.3143MaRDI QIDQ4666707
Author name not available (Why is that?)
Publication date: 14 April 2005
Abstract: This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliot for general hidden Markov models and avoid to use backward recursion.
Full work available at URL: https://arxiv.org/abs/0802.3143
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