Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
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Cites work
- A Liapounov bound for solutions of the Poisson equation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A note on the ergodicity of nonlinear autoregressive model
- Autocovariance structure of Markov regime switching models and model selection
- Conditional heteroskedasticity driven by hidden Markov chains
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- Kalman Filtering with Random Coefficients and Contractions
- Markov chains and stochastic stability
- Non-linear time series and Markov chains
- On geometric ergodicity of nonlinear autoregressive models
- On square-integrability of an AR process with Markov switching
- On stability of nonlinear AR processes with Markov switching
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Specification testing in Markov-switching time-series models
- Stationarity of multivariate Markov-switching ARMA models
- STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
Cited in
(23)- On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models
- Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
- A proof of consistency of the MLE for nonlinear Markov-switching AR processes
- On the Markov-switching bilinear processes: stationarity, higher-order moments and -mixing
- Minimum distance estimation of Markov-switching bilinear processes
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING
- Adaptive prediction for ARMA processes with Markov switching parameters
- On strict stationarity and ergodicity of a non-linear ARMA model
- Stabilité des modèles AR fonctionnels à régime markovien
- Stationnarité des modèles ARMA à changement de régime markovien
- On stability of nonlinear AR processes with Markov switching
- A Robbins–Monro Algorithm for Non‐Parametric Estimation of NAR Process with Markov Switching: Consistency
- On Markov-switching periodicARMAmodels
- COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Factor ARMA representation of a Markov process
- Stationarity of multivariate Markov-switching ARMA models
- Synthetic learner: model-free inference on treatments over time
- Spectral representation of Markov-switching bilinear processes
- Covariance analysis and GMM estimation of Markov switching bilinear processes
- Multivariate Markov-switching ARMA processes with regularly varying noise
- Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching
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