Consistent estimation of the number of regimes in Markov-switching autoregressive models (Q5081005): Difference between revisions

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Latest revision as of 04:14, 29 July 2024

scientific article; zbMATH DE number 7535548
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English
Consistent estimation of the number of regimes in Markov-switching autoregressive models
scientific article; zbMATH DE number 7535548

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    Consistent estimation of the number of regimes in Markov-switching autoregressive models (English)
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    1 June 2022
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    Markov-switching autoregression models
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    model selection
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    information criterion
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    compensated likelihood method
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    Kullback-Leibler divergence
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