Asymptotic Fisher information matrix of Markov switching VARMA models (Q2397135)
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scientific article; zbMATH DE number 6723723
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| English | Asymptotic Fisher information matrix of Markov switching VARMA models |
scientific article; zbMATH DE number 6723723 |
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Asymptotic Fisher information matrix of Markov switching VARMA models (English)
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29 May 2017
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time series with changes in regime
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information matrix computation
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Markov switching VARMA
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asymptotic covariance matrix
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Gaussian maximum likelihood estimator
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0.9660536
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0.89602464
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0.8836005
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0.86910784
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0.8638685
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