Autoregressive processes with data-driven regime switching
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A note on the identifiability of the conditional expectation for the mixtures of neural networks
- Adaptive Varying-Coefficient Linear Models
- Fitting time series models to nonstationary processes
- Functional-Coefficient Autoregressive Models
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 3594513 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- scientific article; zbMATH DE number 3233300 (Why is no real title available?)
- Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
- On geometric ergodicity of nonlinear autoregressive models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Relations between Weak and Uniform Convergence of Measures with Applications
- SLEX Analysis of Multivariate Nonstationary Time Series
- Stationarity of multivariate Markov-switching ARMA models
- Threshold models in non-linear time series analysis
Cited in
(7)- An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
- Forecasting intra-individual changes of affective states taking into account inter-individual differences using intensive longitudinal data from a university student dropout study in math
- Multi-regime models for nonlinear nonstationary time series
- Information geometry of a regime-switching model with time-varying parameters.
- A Bayesian regime-switching time-series model
- Asymptotic properties of autoregressive regime-switching models
- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
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