Recursive Supervised Estimation of a Markov-Switching GARCH Process in the Short-Time Fourier Transform Domain

DOI10.1109/TSP.2007.894422zbMATH Open1391.62163MaRDI QIDQ4564698FDOQ4564698

Authors: Ari Abramson, Israel Cohen 

Publication date: 12 June 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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