Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
DOI10.1016/J.SPL.2015.02.010zbMATH Open1328.62514OpenAlexW1998669157MaRDI QIDQ2348337FDOQ2348337
Authors: Abdelouahab Bibi, Ahmed Ghezal 
Publication date: 11 June 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.010
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stationaritystrong consistencyinvertibilityquasi-maximum likelihoodMarkov-switching bilinear processes
Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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Cited In (10)
- A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
- On the existence of stationary threshold bilinear processes
- Title not available (Why is that?)
- Minimum distance estimation of Markov-switching bilinear processes
- On the \(p\)-dimensional system of nonlinear difference equations: \((K+2)\)-periodic solutions and convergence
- On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
- Parameter estimation of Markov switching bilinear model using the (EM) algorithm
- Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes
- Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
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