RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME (Q4319845)

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scientific article; zbMATH DE number 711385
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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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