Penalized estimate of the number of states in Gaussian linear AR with Markov regime
From MaRDI portal
Publication:1951792
DOI10.1214/08-EJS272zbMath1320.62194arXiv0807.2726OpenAlexW3105146873MaRDI QIDQ1951792
Luis-Angel Rodríguez, Ricardo Rios
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.2726
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Asymptotic properties of parametric tests (62F05)
Related Items (4)
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS ⋮ A proof of consistency of the MLE for nonlinear Markov-switching AR processes ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov-switching model selection using Kullback-Leibler divergence
- A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification
- A Markov model for switching regressions
- Likelihood ratio inequalities with applications to various mixtures
- Inference in hidden Markov models.
- Choix de modèle pour des chaı̂nes de Markov cachées
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Order estimation and sequential universal data compression of a hidden Markov source by the method of mixtures
- The likelihood ratio test for the number of components in a mixture with Markov regime
- On stability of nonlinear AR processes with Markov switching
- Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
- Optimal error exponents in hidden markov models order estimation
- Estimating the Order of Hidden Markov Models
- Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime
This page was built for publication: Penalized estimate of the number of states in Gaussian linear AR with Markov regime