Parameter estimation of Markov switching bilinear model using the (EM) algorithm
type: Item
instance of: scholarly article
title: Parameter estimation of Markov switching bilinear model using the (EM) algorithm
zbMATH Open document ID: 1377.62172
author: M. Maaziz
author: Soumia Kharfouchi
published in: Journal of Statistical Planning and Inference
publication date: 2017-11-17T00:00:00Z
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6808152
zbMATH Keywords: Markov-switching
zbMATH Keywords: bilinear models
zbMATH Keywords: (EM) algorithm
zbMATH Keywords: maximum likelihood
MaRDI profile type: Publication
full work available at URL: j.jspi.2017.07.002
OpenAlex ID: W2743705917
cites work: On the stationarity of Markov-switching GARCH processes
cites work: On an independent and identically distributed mixture bilinear time-series model
cites work: Maximum likelihood estimation of the Markov-switching GARCH model
cites work: A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
cites work: Marginal likelihood for Markov-switching and change-point GARCH models
cites work: Theory and inference for a Markov switching GARCH model
cites work: Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes
cites work: The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
cites work: Q4139463
cites work: On White Noises Driven by Hidden Markov Chains
cites work: Stationarity of multivariate Markov-switching ARMA models
cites work: On the invertibility of time series models
cites work: Analysis of time series subject to changes in regime
cites work: A Note on Switching Regressions and Logistic Discrimination
cites work: Maximum likelihood estimation for multivariate observations of Markov sources
cites work: TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
cites work: Q3928089
cites work: An introduction to bispectral analysis and bilinear time series models
cites work: On a Mixture Autoregressive Model
cites work: On the convergence properties of the EM algorithm
DOI: 10.1016/J.JSPI.2017.07.002
description: scientific article; zbMATH DE number 6808152