Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
Author:
Funder
Università Degli Studi di Modena e Reggio Emila
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability
Reference45 articles.
1. Optimal filter approximations in conditionally Gaussian pairwise Markov switching models;Abbassi;IEEE Trans. Automat. Control,2015
2. Inference on filtered and smoothed probabilities in Markov-switching autoregressive models;Alvarez;J. Bus. Econom. Statist.,2019
3. Statistical guarantees for the EM algorithm: from population to sample-based analysis;Balakrishnan;Ann. Statist.,2017
4. Asymptotic normality of the maximum likelihood estimator for general hidden Markov models;Bickel;Ann. Statist.,1998
5. Spectral density of Markov-switching VARMA models;Cavicchioli;Econom. Lett.,2013
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