Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime

DOI10.1111/1467-9892.00093zbMath0906.62088OpenAlexW2021134523MaRDI QIDQ3838306

Tobias Rydén, Vikram Krishnamurthy

Publication date: 9 August 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00093

zbMATH Keywords

maximum likelihood estimationhidden Markov modelautoregressive processMarkov regime

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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