Stationarity of multivariate Markov-switching ARMA models

DOI10.1016/S0304-4076(01)00057-4zbMath0998.62076MaRDI QIDQ5942686

Jean-Michel Zakoian, Christian Francq

Publication date: 19 March 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Markov-switching models; multivariate ARMA models; regime-switching models; second-order stationary time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

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