Weak VARMA representations of regime-switching state-space models
DOI10.1007/S00362-015-0675-1zbMATH Open1353.60066OpenAlexW1976062144MaRDI QIDQ345368FDOQ345368
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
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Cites Work
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- Inference in hidden Markov models.
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- Dynamic linear models with Markov-switching
- A unified approach to nonlinearity, structural change, and outliers
- The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Autocovariance structure of Markov regime switching models and model selection
- Determining the number of regimes in Markov switching VAR and VMA models
- Time Series and Dynamic Models
- Markov chain models, time series analysis and extreme value theory
- Stationarity of multivariate Markov-switching ARMA models
- On the sufficient statistics for multivariate ARMA models: approximate approach
Cited In (13)
- Regime switching state-space models applied to psychological processes: handling missing data and making inferences
- Autocovariance structure of Markov regime switching models and model selection
- On the existence of stationary threshold bilinear processes
- Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- VAR based state-space structures: realization, statistics and spectral analysis
- Likelihood-based analysis in mixture global vars
- On ACVF of a regime switching AR(1) process
- Statistical analysis of mixture vector autoregressive models
- Spectral density of Markov-switching VARMA models
- Stationarity of multivariate Markov-switching ARMA models
- Markov-switching BILINEAR-GARCH models: structure and estimation
- Determining the number of regimes in Markov switching VAR and VMA models
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