SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL

DOI10.1111/J.1467-9892.1996.TB00277.XzbMath0854.62086OpenAlexW2169360619MaRDI QIDQ4892827

Naoto Kunitomo, Seisho Sato

Publication date: 14 January 1997

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00277.x

zbMATH Keywords

maximum likelihood estimatorleast squares estimatorsimultaneous switching autoregressive modelfinite sample propertiesGaussian disturbancesMarkovian nonlinear time series model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling ⋮ Hellinger distance estimation of SSAR models

Cites Work

• Threshold models in non-linear time series analysis
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