On Markov-switching periodicARMAmodels
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Publication:4638709
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Note on Calculating Autocovariances of PeriodicARMAModels
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Autocovariance structure of Markov regime switching models and model selection
- Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
- Computing the exact Fisher information matrix of periodic state-space models
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Marginal distribution of Markov-switching <scp>VAR</scp> processes
- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- On periodic and multiple autoregressions
- On some probabilistic properties of double periodic AR models
- ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
- ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
- Parameter Estimation for Periodically Stationary Time Series
- Periodic stationarity of random coefficient periodic autoregressions
- Predictive Density Order Selection of Periodic AR Models
- Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
- RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Recursive prediction and likelihood evaluation for periodic ARMA models
- Stationarity of multivariate Markov-switching ARMA models
- Strict stationarity of generalized autoregressive processes
- Third and fourth moments of vector autoregressions with regime switching
- Using Periodic Autoregressions for Multiple Spectral Estimation
Cited in
(14)- Estimation of time-varying ARMA models with Markovian changes in regime
- Mixed-frequency VAR models with Markov-switching dynamics
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
- Time-series model with periodic stochastic regime switching. I: Theory
- A transitional Markov switching autoregressive model
- Probabilistic properties of a Markov-switching periodic GARCH process.
- Seasonal autoregressions with regime switching
- Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- Adaptive prediction for ARMA processes with Markov switching parameters
- The spectral representation of Markov switching ARMA models
- Stationarity of multivariate Markov-switching ARMA models
- Covariance analysis and GMM estimation of Markov switching bilinear processes
- Multivariate Markov-switching ARMA processes with regularly varying noise
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