Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator

DOI10.1080/02331889808802659zbMath0954.62104OpenAlexW2023039139MaRDI QIDQ4228054

Michel Roussignol, Christian Francq

Publication date: 27 April 1999

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889808802659

zbMATH Keywords

consistencymaximum likelihoodnonlinear time series modelshidden Markov chainsswitching models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

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Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Time‐Varying Transition Probabilities for Markov Regime Switching Models ⋮ Unnamed Item ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities ⋮ Efficient likelihood estimation in state space models ⋮ Asymptotic properties of the maximum likelihood estimator in regime switching econometric models ⋮ Estimation of weak ARMA models with regime changes ⋮ Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime ⋮ On square-integrability of an AR process with Markov switching ⋮ Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models ⋮ Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains ⋮ Stationarity of multivariate Markov-switching ARMA models ⋮ Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models ⋮ Some theoretical results on Markov-switching autoregressive models with gamma innovations ⋮ A general autoregressive model with Markov switching: estimation and consistency ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ Modelling extremes of time-dependent data by Markov-switching structures ⋮ Linear diffusion with stationary switching regime ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

Cites Work

• Unnamed Item
• Unnamed Item
• Maximum-likelihood estimation for hidden Markov models
• Subadditive ergodic theory
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Identifiability of Finite Mixtures
• Products of Random Matrices
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Note on the Consistency of the Maximum Likelihood Estimate

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