A proof of consistency of the MLE for nonlinear Markov-switching AR processes

DOI10.1016/j.spl.2021.109347zbMath1489.62273OpenAlexW4200003661MaRDI QIDQ2667593

José Marcano, Luis-Angel Rodríguez, Lisandro J. Fermín

Publication date: 4 March 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109347

zbMATH Keywords

consistencyasymptotic normalityhidden Markov chainMarkov switchingnonlinear autoregressive process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic processes (60G99)

Cites Work

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