Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime

DOI10.1111/1467-9892.00093MaRDI QIDQ3838306zbMATH OpenOpenAlexFDO

Authors Vikram Krishnamurthy, Tobias Rydén

Publication date 9 August 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00093

zbMATH Keywords

autoregressive processhidden Markov modelMarkov regimemaximum likelihood estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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