ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (Q3440787)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS |
scientific article |
Statements
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (English)
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29 May 2007
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Markov-switching autoregressive model
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hidden Markov chain
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ARMA representation
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Monte Carlo analysis
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