Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
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Publication:6634880
DOI10.1080/07350015.2017.1380032zbMATH Open1548.62542MaRDI QIDQ6634880FDOQ6634880
Authors: Maximo Camacho, Manuel Ruiz Marín 
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Finite mixture and Markov switching models.
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Dynamic linear models with Markov-switching
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Stationarity of multivariate Markov-switching ARMA models
- Chapter 1 Dating Business Cycle Turning Points
- Analysis of the likelihood function for Markov-switching VAR(CH) models
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