Asymptotic properties of autoregressive regime-switching models

DOI10.1051/PS/2011153zbMath1302.62199OpenAlexW2170955388MaRDI QIDQ4921824

Joseph Rynkiewicz, Madalina Olteanu

Publication date: 14 May 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2011153

zbMATH Keywords

likelihood ratio testhidden Markov modelswitching times series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ Hierarchical Markov-switching models for multivariate integer-valued time-series ⋮ Asymptotics for regression models under loss of identifiability ⋮ Mixtures of Nonlinear Poisson Autoregressions

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