Autocovariance Structure of Markov Regime Switching Models and Model Selection
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Publication:2722255
DOI10.1111/1467-9892.00214zbMath0966.62064OpenAlexW2000281646MaRDI QIDQ2722255
Publication date: 11 July 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/statistics_papers/437
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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