Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching (Q3440767)
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scientific article; zbMATH DE number 5158760
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| English | Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching |
scientific article; zbMATH DE number 5158760 |
Statements
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching (English)
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29 May 2007
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Akaike information criterion, AIC
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BIC
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penalized maximum likelihood estimation
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hidden Markov chain model
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0.8569851517677307
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0.8534988760948181
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0.8318408131599426
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0.806259274482727
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0.8061274290084839
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