On ACVF of a regime switching AR(1) process

zbMATH Open1349.62403MaRDI QIDQ5259367FDOQ5259367

Authors: Reza Habibi 

Publication date: 26 June 2015

Recommendations

• Autocovariance structure of Markov regime switching models and model selection
• A transitional Markov switching autoregressive model
• Weak VARMA representations of regime-switching state-space models
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

zbMATH Keywords

Markov chainautoregressive modelauto-covariance functionnon-stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) White noise theory (60H40)

Cited In (1)

• Autocovariance structure of Markov regime switching models and model selection

This page was built for publication: On ACVF of a regime switching AR(1) process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5259367)