A general autoregressive model with Markov switching: estimation and consistency

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (1)

Spectral density of Markov-switching VARMA models

Uses Software

LBFGS-B

Cites Work

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An improved subadditive ergodic theorem
Maximum-likelihood estimation for hidden Markov models
Subadditive ergodic theory
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
Stochastic sampling algorithms for state estimation of jump Markov linear systems
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A Limited Memory Algorithm for Bound Constrained Optimization
Products of Random Matrices
Statistical Inference for Probabilistic Functions of Finite State Markov Chains
Probabilistic Functions of Finite State Markov Chains
Note on the Consistency of the Maximum Likelihood Estimate
On square-integrability of an AR process with Markov switching
Stationarity of multivariate Markov-switching ARMA models

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