Weak VARMA representations of regime-switching state-space models

DOI10.1007/S00362-015-0675-1MaRDI QIDQ345368zbMATH OpenOpenAlexFDO

Authors 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

time seriesstate-space modelsMarkov chainsregime numberregime-switching models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A unified approach to nonlinearity, structural change, and outliers
• Analysis of time series subject to changes in regime
• Autocovariance structure of Markov regime switching models and model selection
• Determining the number of regimes in Markov switching VAR and VMA models
• Dynamic linear models with Markov-switching
• Inference in hidden Markov models.
• Markov chain models, time series analysis and extreme value theory
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• On the sufficient statistics for multivariate ARMA models: approximate approach
• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• Stationarity of multivariate Markov-switching ARMA models
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Time Series and Dynamic Models

Cited in

(13)

• Determining the number of regimes in Markov switching VAR and VMA models
• Spectral density of Markov-switching VARMA models
• Stationarity of multivariate Markov-switching ARMA models
• Markov-switching BILINEAR-GARCH models: structure and estimation
• Regime switching state-space models applied to psychological processes: handling missing data and making inferences
• On the existence of stationary threshold bilinear processes
• VAR based state-space structures: realization, statistics and spectral analysis
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
• On ACVF of a regime switching AR(1) process
• Likelihood-based analysis in mixture global vars
• Statistical analysis of mixture vector autoregressive models
• Autocovariance structure of Markov regime switching models and model selection

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