Weak VARMA representations of regime-switching state-space models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00362-015-0675-1.pdf
Reference17 articles.
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2. Cavicchioli M (2014) Determining the number of regimes in Markov-switching VAR and VMA models. J Time Ser Anal 35:173–186
3. Francq C, Zakoïan JM (2001) Stationarity of multivariate Markov-switching ARMA models. J Econom 102:339–364
4. Francq C, Zakoïan JM (2002) Autocovariance structure of powers of switching-regime ARMA. ESAIM: Probab Stat 6:259–270
5. Fukuda K (2007) Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth. Stat Pap 48:559–580
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