Autoregressive processes with data-driven regime switching
From MaRDI portal
Publication:3077661
DOI10.1111/j.1467-9892.2009.00622.xzbMath1224.62061MaRDI QIDQ3077661
Richard A. Davis, Hernando Ombao, Joseph Tadjuidje Kamgaing
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00622.x
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P10: Applications of statistics to biology and medical sciences; meta analysis
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