- Tytuł:
- Autocovariance and Linear Transformations of Markov Switching VARMA Processes
- Autorzy:
- Cavicchioli, Maddalena
- Powiązania:
- https://bibliotekanauki.pl/articles/2076570.pdf
- Data publikacji:
- 2014
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
time series
multivariate ARMA
state-space models
Markovchains
changes in regime
autocovariance
linear representations - Opis:
- We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p∗, q∗) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2014, 4; 275-289
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł