Consistent estimation of the number of regimes in Markov-switching autoregressive models
Author:
Affiliation:
1. School of Mathematical Sciences, Peking University, Beijing, P.R. China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1777304
Reference26 articles.
1. A new look at the statistical model identification
2. On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study
3. The minimum description length principle in coding and modeling
4. Statistical Inference for Probabilistic Functions of Finite State Markov Chains
5. Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
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