Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

DOI10.1111/J.1467-9892.2006.00487.XMaRDI QIDQ3440767zbMATH OpenOpenAlexFDO

Authors Nicola Spagnolo, Zacharias Psaradakis

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00487.x

zbMATH Keywords

Akaike information criterion, AICBIChidden Markov chain modelpenalized maximum likelihood estimation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Generalised information criteria in model selection
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• Model selection in threshold models
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• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• On the information-based measure of covariance complexity and its application to the evaluation of multivariate linear models
• Stationarity of multivariate Markov-switching ARMA models
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• Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models

Cited in

(19)

• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• Autocovariance structure of Markov regime switching models and model selection
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Determining the number of regimes in Markov switching VAR and VMA models
• On an independent and identically distributed mixture bilinear time-series model
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• On joint determination of the number of states and the number of variables in Markov-switching models: a Monte Carlo study
• Mortality regimes and longevity risk in a life annuity portfolio
• On Markov-switching periodicARMAmodels
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• Estimating the number of regimes of non-linear autoregressive models
• Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime
• Monetary policy, external instruments, and heteroskedasticity
• Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
• On using fuzzy clustering for detecting the number of states in Markov switching models
• Multivariate contemporaneous-threshold autoregressive models

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