Markov switching model of nonlinear autoregressive with skew-symmetric innovations

DOI10.1080/00949655.2018.1563089OpenAlexW2910663481MaRDI QIDQ5107340

Arezo Hajrajabi

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1563089

zbMATH Keywords

EM algorithmgeometric ergodicityMarkov switching modelssemi-parametric autoregressionskew symmetric innovations

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10) Time series analysis of dynamical systems (37M10)

Cites Work

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• Nonlinear semiparametric AR(1) model with skew-symmetric innovations
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• On geometric ergodicity of CHARME models

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