Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Modelling and Simulation,Statistics and Probability,Analysis
Reference47 articles.
1. Albert, J.H., Chib, S.: Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts. J. Bus. Econ. Stat. 11(1), 1–15 (1993)
2. Baggenstoss, P.M.: A modified Baum-Welch algorithm for hidden Markov models with multiple observation spaces. IEEE Trans. Speech Audio Process. 9(4), 411–416 (2001)
3. Bao, Y., Hua, Y.: On the Fisher information matrix of a vector ARMA process. Econ. Lett. 123, 14–16 (2014)
4. Billio, M., Monfort, A., Robert, C.P.: Bayesian estimation of switching ARMA models. J. Econom. 93, 229–255 (1999)
5. Cavicchioli, M.: Spectral density of Markov-switching VARMA models. Econ. Lett. 121, 218–220 (2013)
Cited by
3 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献