Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models

DOI10.5705/ss.202019.0190OpenAlexW3205564020MaRDI QIDQ5037794

David A. Stephens, Abbas Khalili

Publication date: 4 March 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202019.0190

zbMATH Keywords

EM algorithmautoregressive modelsregularization methodsinformation criteriaMarkov regime-switching models

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Regularization in dynamic random‐intercepts models for analysis of longitudinal data ⋮ Markov switching quantile regression models with time-varying transition probabilities

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