Determining the number of regimes in Markov switching VAR and VMA models (Q2933197)
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scientific article; zbMATH DE number 6379177
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| English | Determining the number of regimes in Markov switching VAR and VMA models |
scientific article; zbMATH DE number 6379177 |
Statements
DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS (English)
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10 December 2014
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second-order stationary time series
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VMA models
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VAR models
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state-space models
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Markov chains
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changes in regime
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regime number
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0.8642679452896118
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0.8555014133453369
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0.8528703451156616
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0.8195594549179077
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0.8191477060317993
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