On White Noises Driven by Hidden Markov Chains

DOI10.1111/1467-9892.00068zbMath0919.62100OpenAlexW1989794077MaRDI QIDQ4379709

Christian Francq, Michel Roussignol

Publication date: 2 September 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00068

zbMATH Keywords

consistencymaximum pseudo-likelihood estimator

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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