ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (Q3440787)
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scientific article; zbMATH DE number 5158777
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| English | ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS |
scientific article; zbMATH DE number 5158777 |
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ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (English)
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29 May 2007
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Markov-switching autoregressive model
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hidden Markov chain
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ARMA representation
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Monte Carlo analysis
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0.8566493391990662
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0.8534988760948181
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0.8191477060317993
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0.8119763731956482
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0.8040140867233276
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