✦ LIBER ✦

The spectral representation of Markov switching ARMA models

✍ Scribed by Beatrice Pataracchia

Book ID: 116422874
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 234 KB
Volume: 112
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2011.03.003

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Factor ARMA representation of a Markov p

Factor ARMA representation of a Markov process

✍ Serge Darolles; Jean-Pierre Florens; Christian Gouriéroux 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 56 KB

Matrix representations of spectral coeff

Matrix representations of spectral coefficients of randomly sampled ARMA models

✍ Amina Kadi; Abdelkader Mokkadem 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 814 KB

The multi-chain Markov switching model

✍ Edoardo Otranto 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 258 KB

In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a parti

Closed-form likelihood function of Marko

Closed-form likelihood function of Markov-switching models

✍ Minxian Yang 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 68 KB

Multivariate Markov Switching Common Fac

Multivariate Markov Switching Common Factor Models for the UK

✍ Terence C. Mills; Ping Wang 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 410 KB

The Misspecification of Arma Models

✍ D.S.G. Pollock 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 663 KB