A general autoregressive model with Markov switching: estimation and consistency
type: Item
instance of: scholarly article
title: A general autoregressive model with Markov switching: estimation and consistency
zbMATH Open document ID: 1231.62165
DOI: 10.3103/S1066530708030046
author: Y. Xie
author: B. Ranneby
author: J. Yu
published in: Mathematical Methods of Statistics
publication date: 2009-10-13T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 5614397
zbMATH Keywords: asymptotic normality
zbMATH Keywords: MLE
describes a project that uses: LBFGS-B
MaRDI profile type: Publication
cites work: Statistical Inference for Probabilistic Functions of Finite State Markov Chains
cites work: Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
cites work: Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
cites work: A Limited Memory Algorithm for Bound Constrained Optimization
cites work: Inference in hidden Markov models.
cites work: Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
cites work: Stochastic sampling algorithms for state estimation of jump Markov linear systems
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
cites work: Conditional heteroskedasticity driven by hidden Markov chains
cites work: Stationarity of multivariate Markov-switching ARMA models
cites work: Products of Random Matrices
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: Asymptotic normality of the maximum likelihood estimator in state space models
cites work: Q4076577
cites work: Subadditive ergodic theory
cites work: Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
cites work: Maximum-likelihood estimation for hidden Markov models
cites work: An improved subadditive ergodic theorem
cites work: Q4864761
cites work: STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
cites work: Probabilistic Functions of Finite State Markov Chains
cites work: Q4084474
cites work: Note on the Consistency of the Maximum Likelihood Estimate
cites work: On square-integrability of an AR process with Markov switching
cites work: On stability of nonlinear AR processes with Markov switching
description: scientific article; zbMATH DE number 5614397