Dynamic linear models with Markov-switching

DOI10.1016/0304-4076(94)90036-1zbMath0795.62104OpenAlexW2014378975MaRDI QIDQ1318985

Publication date: 18 September 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90036-1

zbMATH Keywords

maximum likelihood estimation Markov-switching model dependence basic filtering and smoothing algorithm dynamic linear models with switching general state-space model generalized Hamilton model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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