On square-integrability of an AR process with Markov switching

DOI10.1016/S0167-7152(00)00206-6zbMath1012.62097OpenAlexW1996007134MaRDI QIDQ5937049

Jian-feng Yao

Publication date: 16 June 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00206-6

zbMATH Keywords

stationary solutionsAR processesMarkov switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (14)

ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES ⋮ First-order integer-valued autoregressive process with Markov-switching coefficients ⋮ Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ Theory and inference for a Markov switching GARCH model ⋮ Markov-switching stochastic trends and economic fluctuations ⋮ Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching ⋮ Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models ⋮ A general autoregressive model with Markov switching: estimation and consistency ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data ⋮ Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching ⋮ ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS

Cites Work

• Analysis of time series subject to changes in regime
• Strict stationarity of generalized autoregressive processes
• Specification testing in Markov-switching time-series models
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

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