A TIME SERIES MODEL WITH SUDDENLY CHANGING PARAMETERS

DOI10.1111/j.1467-9892.1993.tb00132.xzbMath0767.62077OpenAlexW2123205491MaRDI QIDQ4696569

Jiří Anděl

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00132.x

zbMATH Keywords

momentscovariance functionMarkov chainextrapolationmean square errormoment estimatorsstrict white noisemoments of stationary distributiontwo real states

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

A model for variables with suddenly changing parameters ⋮ How can we Define the Concept of Long Memory? An Econometric Survey

Cites Work

• A multiple distribution Markovian model for annual hydrologic time series

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