Asymptotic Fisher information matrix of Markov switching VARMA models

DOI10.1016/J.JMVA.2017.03.004MaRDI QIDQ2397135zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 29 May 2017

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2017.03.004

zbMATH Keywords

asymptotic covariance matrixGaussian maximum likelihood estimatorinformation matrix computationMarkov switching VARMAtime series with changes in regime

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
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• Estimation of vector Armax models
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• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 1066380 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• On the Fisher information matrix of a vector ARMA process
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Stationarity of multivariate Markov-switching ARMA models
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• The information matrices of the parameters of multiple mixed time series

Cited in

(16)

• A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• Trend and cycle decomposition of Markov switching (co)integrated time series
• Impulse response function analysis for Markov switching VAR models
• A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• Spectral representation of Markov-switching bilinear processes
• On the existence of stationary threshold bilinear processes
• On the Markov-switching autoregressive stochastic volatility processes
• Vector moving average models: a review
• (Bi)spectral analysis of Markov switching bilinear time series
• The asymptotic and exact Fisher information matrices of a vector ARMA process

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