Pages that link to "Item:Q5942686"

The following pages link to Stationarity of multivariate Markov-switching ARMA models (Q5942686):

Displaying 50 items.

• Weak VARMA representations of regime-switching state-space models (Q345368) (← links)
• Local unit roots and global stationarity of TARMA models (Q430852) (← links)
• Dynamic modeling of mean-reverting spreads for statistical arbitrage (Q545522) (← links)
• The spectral representation of Markov switching ARMA models (Q553863) (← links)
• A general autoregressive model with Markov switching: estimation and consistency (Q734539) (← links)
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach (Q736570) (← links)
• Multivariate Markov-switching ARMA processes with regularly varying noise (Q928854) (← links)
• Markov-switching stochastic trends and economic fluctuations (Q953740) (← links)
• Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
• A two-state regime switching autoregressive model with an application to river flow analysis (Q997301) (← links)
• A Bayesian analysis of moving average processes with time-varying parameters (Q1020904) (← links)
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632) (← links)
• On mixture autoregressive conditional heteroskedasticity (Q1643793) (← links)
• Skewness and kurtosis of multivariate Markov-switching processes (Q1659107) (← links)
• Scenario generation for long run interest rate risk assessment (Q1676381) (← links)
• Parameter estimation of Markov switching bilinear model using the (EM) algorithm (Q1680935) (← links)
• Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033) (← links)
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime (Q1766135) (← links)
• Estimation of time-varying ARMA models with Markovian changes in regime (Q1767737) (← links)
• Misspecified structural change, threshold, and Markov-switching models. (Q1858953) (← links)
• Red signals: current account deficits and sustainability (Q1927547) (← links)
• Estimation of weak ARMA models with regime changes (Q1984643) (← links)
• A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process (Q1985964) (← links)
• Dynamic investment strategy with factor models under regime switches (Q2013300) (← links)
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models (Q2029218) (← links)
• Exponential forgetting of smoothing distributions for pairwise Markov models (Q2042802) (← links)
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use (Q2058550) (← links)
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (Q2123263) (← links)
• Hidden Markov and semi-Markov models when and why are these models useful for classifying states in time series data? (Q2163529) (← links)
• Determinacy and classification of Markov-switching rational expectations models (Q2246593) (← links)
• High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711) (← links)
• Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes (Q2269670) (← links)
• Time-varying rational expectations models (Q2338524) (← links)
• The functional central limit theorem for the multivariate MS-ARMA-GARCH model (Q2345241) (← links)
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models (Q2348337) (← links)
• Asymptotic Fisher information matrix of Markov switching VARMA models (Q2397135) (← links)
• Spectral density of Markov-switching VARMA models (Q2451399) (← links)
• A note on state space representations of locally stationary wavelet time series (Q2518952) (← links)
• The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
• Threshold Vector Arma Models (Q2792294) (← links)
• On the Markov-switching bilinear processes: stationarity, higher-order moments and <i>β</i>-mixing (Q2804016) (← links)
• Sequential detection of switches in models with changing structures (Q2804556) (← links)
• A transitional Markov switching autoregressive model (Q2815965) (← links)
• Statistical Analysis Of Mixture Vector Autoregressive Models (Q2835319) (← links)
• ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES (Q2886955) (← links)
• DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS (Q2933197) (← links)
• Minimum distance estimation of Markov-switching bilinear processes (Q2953974) (← links)
• Modeling nonlinear time series with local mixtures of generalized linear models (Q3023645) (← links)
• Autoregressive processes with data-driven regime switching (Q3077661) (← links)
• On an independent and identically distributed mixture bilinear time-series model (Q3077682) (← links)