On Markov-switching periodicARMAmodels

DOI10.1080/03610926.2017.1303734zbMath1462.62519OpenAlexW2595614386MaRDI QIDQ4638709

Billel Aliat, Fayçal Hamdi

Publication date: 27 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1303734

zbMATH Keywords

higher-order momentsMarkov-switching modelsmaximum-likelihood methodperiodic stationarityperiodic ARMA modelMS-PARMA models

Mathematics Subject Classification ID

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

Related Items (2)

Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model ⋮ Probabilistic properties of a Markov-switching periodic GARCH process

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