ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
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Publication:3440787
DOI10.1111/1467-9892.00305zbMath1112.62101OpenAlexW2070712342MaRDI QIDQ3440787
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/10.1111/1467-9892.00305
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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