Weak VARMA representations of regime-switching state-space models

DOI10.1007/s00362-015-0675-1zbMath1353.60066OpenAlexW1976062144MaRDI QIDQ345368

Maddalena Cavicchioli

Publication date: 1 December 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-015-0675-1

zbMATH Keywords

Markov chainstime seriesstate-space modelsregime-switching modelsregime number

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Likelihood-based analysis in mixture global vars, Markov-switching BILINEAR − GARCH models: Structure and estimation, Multivariate portmanteau tests for weak multiplicative seasonal VARMA models, Statistical Analysis Of Mixture Vector Autoregressive Models

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