On the Markov-switching bilinear processes: stationarity, higher-order moments and -mixing

DOI10.1080/17442508.2015.1019881MaRDI QIDQ2804016zbMATHOpenAlexFDO

Authors Abdelouahab Bibi, Ahmed Ghezal

Publication date 27 April 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2015.1019881

zbMATH Keywords

stationary\(\beta\)-mixingARMA representationMarkov-switching bilinear processesgeometric egodicity

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Exact Lyapunov exponent for infinite products of random matrices
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• Markov Chains and Stochastic Stability
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• On White Noises Driven by Hidden Markov Chains
• On an independent and identically distributed mixture bilinear time-series model
• On stability of nonlinear AR processes with Markov switching
• On stationarity and \(\beta \)-mixing of periodic bilinear processes
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• On the Covariance Structure of Time Varying Bilinear Models
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• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes
• Stationarity of multivariate Markov-switching ARMA models
• Strict stationarity of generalized autoregressive processes
• The \(L^2\)-structures of standard and switching-regime GARCH models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(12)

• A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
• Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes
• Markov-switching BILINEAR-GARCH models: structure and estimation
• On the Markov-switching autoregressive stochastic volatility processes
• Minimum distance estimation of Markov-switching bilinear processes
• On stationarity and \(\beta \)-mixing of periodic bilinear processes
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• On an independent and identically distributed mixture bilinear time-series model
• Spectral representation of Markov-switching bilinear processes
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

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