RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME (Q4319845)
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scientific article; zbMATH DE number 711385
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English | RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME |
scientific article; zbMATH DE number 711385 |
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RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME (English)
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1 March 1995
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AR(2) models
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Gaussian noise
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stationarity results
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hidden Markov regime
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switching autoregressive process
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hidden Markov chain
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suboptimal modifications of Kalman filtering
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maximum likelihood method
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recursive EM algorithm
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