A transitional Markov switching autoregressive model
From MaRDI portal
Publication:2815965
Recommendations
Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Analysis of time series subject to changes in regime
- Bartlett's formula for a general class of nonlinear processes
- Dynamic linear models with Markov-switching
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Markov-switching model selection using Kullback-Leibler divergence
- Model selection in threshold models
- Moments of Markov switching models
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Specification testing in Markov-switching time-series models
- Stationarity of multivariate Markov-switching ARMA models
Cited in
(25)- Markov switching models for time series data with dramatic jumps
- Moments of Markov-switching models
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
- An Introduction to Regime Switching Time Series Models
- Seasonal autoregressions with regime switching
- Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- Spectral representation and autocovariance structure of Markov switching DSGE models
- A Bayesian regime-switching time-series model
- Modelling autoregressive processes with a shifting mean
- Some theoretical results on Markov-switching autoregressive models with gamma innovations
- Copula approach to residuals of regime-switching models
- Markov and the Duchy of Savoy: segmenting a century with regime-switching models
- A two-state regime switching autoregressive model with an application to river flow analysis
- Dynamic linear models with Markov-switching
- A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
- Unilateral 2D Markov-switching autoregressive model
- On ACVF of a regime switching AR(1) process
- Time-varying transition probabilities for Markov regime switching models
- Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
- A gradual switching regression model with autocorrelated errors
- Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models
- Markov switching quantile regression models with time-varying transition probabilities
- Hidden semi-Markov-switching quantile regression for time series
- Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution
This page was built for publication: A transitional Markov switching autoregressive model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2815965)
