RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME

DOI10.1111/J.1467-9892.1994.TB00206.XMaRDI QIDQ4319845zbMATH OpenOpenAlexFDO

Authors Ulla Holst, Georg Lindgren, J. Holst, Mikael Thuvesholmen

Publication date 1 March 1995

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00206.x

zbMATH Keywords

AR(2) modelsGaussian noisehidden Markov chainhidden Markov regimemaximum likelihood methodrecursive EM algorithmstationarity resultssuboptimal modifications of Kalman filteringswitching autoregressive process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Recommendations

• Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
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Cites work

• Analysis of time series subject to changes in regime
• Detecting changes in signals and systems - a survey
• Detection of abrupt changes in signals and dynamical systems. (Proceedings of a Conference on Detection of Abrupt Changes in Signals and Dynamical Systems, Paris, March 21-22, 1984)
• Hidden Markov model signal processing in presence of unknown deterministic interferences
• scientific article; zbMATH DE number 3963757 (Why is no real title available?)
• Identification of ARX models with markovian parameters
• Linear Statistical Inference and its Applications
• On asymptotically efficient recursive estimation
• On-line estimation of hidden Markov model parameters based on the Kullback-Leibler information measure
• Recursive estimation in mixture models with Markov regime
• Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
• Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure
• Strict stationarity of generalized autoregressive processes
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(26)

• Tracking and identification of regime-switching systems using binary sensors
• Short rate nonlinearities and regime switches.
• Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
• Resolvent estimators for functional autoregressive processes with random coefficients
• Regime switching model estimation: spectral clustering hidden Markov model
• Commuting birth-and-death processes
• Covariance operator estimation of a functional autoregressive process with random coefficients
• Robust and efficient specification tests in Markov-switching autoregressive models
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
• Parameter estimation in a regime-switching model when the drift and volatility are independent
• Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
• System identification: regime switching, unmodeled dynamics, and binary sensors
• Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
• Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Recursive online EM estimation of mixture autoregressions
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• Viterbi-based estimation for Markov switching GARCH model
• On square-integrability of an AR process with Markov switching
• Stationarity of multivariate Markov-switching ARMA models
• Signal estimation with binary-valued sensors
• Structural vector autoregressions with Markov switching

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