ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS (Q5176866)
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scientific article; zbMATH DE number 6411238
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS |
scientific article; zbMATH DE number 6411238 |
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ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS (English)
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4 March 2015
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time series with changes in regime
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Markov-switching VAR models
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filtering
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smoothing
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MLE
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asymptotic variance matrix
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