Analysis of time series subject to changes in regime

DOI10.1016/0304-4076(90)90093-9zbMath0723.62050OpenAlexW2052441401MaRDI QIDQ756894

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90093-9

zbMATH Keywords

hypothesis testing maximum likelihood estimates nonstationary processes vector autoregression analytic derivatives of the sample log-likelihood function Bayesian priors discrete shifts of time series discrete-valued Markov process EM principle smoothed inferences smoothed probabilities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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