Parameter estimation of Markov switching bilinear model using the (EM) algorithm

DOI10.1016/J.JSPI.2017.07.002MaRDI QIDQ1680935zbMATH OpenOpenAlexFDO

Authors M. Maaziz, Soumia Kharfouchi

Publication date 17 November 2017

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2017.07.002

zbMATH Keywords

maximum likelihoodMarkov-switchingbilinear models(EM) algorithm

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02)

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Cites work

• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• A Note on Switching Regressions and Logistic Discrimination
• An introduction to bispectral analysis and bilinear time series models
• Analysis of time series subject to changes in regime
• Marginal likelihood for Markov-switching and change-point GARCH models
• Maximum likelihood estimation for multivariate observations of Markov sources
• Maximum likelihood estimation of the Markov-switching GARCH model
• On White Noises Driven by Hidden Markov Chains
• On a Mixture Autoregressive Model
• On an independent and identically distributed mixture bilinear time-series model
• On the convergence properties of the EM algorithm
• On the invertibility of time series models
• On the stationarity of Markov-switching GARCH processes
• Stationarity and -mixing of general Markov-switching bilinear processes
• Stationarity of multivariate Markov-switching ARMA models
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Theory and inference for a Markov switching GARCH model

Cited in

(3)

• Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
• Minimum distance estimation of Markov-switching bilinear processes
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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