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

DOI10.1016/J.JSPI.2017.07.002zbMATH Open1377.62172OpenAlexW2743705917MaRDI QIDQ1680935FDOQ1680935

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

Recommendations

• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
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• Markov-switching BILINEAR-GARCH models: structure and estimation
• Dynamic linear models with Markov-switching

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)

Cites Work

• Title not available (Why is that?)
• On the convergence properties of the EM algorithm
• On a Mixture Autoregressive Model
• On the invertibility of time series models
• Title not available (Why is that?)
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Analysis of time series subject to changes in regime
• Theory and inference for a Markov switching GARCH model
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• An introduction to bispectral analysis and bilinear time series models
• Stationarity of multivariate Markov-switching ARMA models
• Maximum likelihood estimation for multivariate observations of Markov sources
• A Note on Switching Regressions and Logistic Discrimination
• On the stationarity of Markov-switching GARCH processes
• On White Noises Driven by Hidden Markov Chains
• Maximum likelihood estimation of the Markov-switching GARCH model
• Marginal likelihood for Markov-switching and change-point GARCH models
• Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes
• On an independent and identically distributed mixture bilinear time-series 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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