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A Robbins-Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency

  • Published:2017-04-20 Issue:6 Volume:38 Page:809-837
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:Journal of Time Series Analysis

Author:

Fermin Lisandro Javier1,Rios Ricardo2,Rodriguez Luis Angel13ORCID

Affiliation:

1. CIMFAV, Facultad de Ingeniería; Universidad de Valparaíso; Valparaíso Chile

2. Escuela de Matemáticas, Facultad de Ciencias; Universidad Central de Venezuela; Caracas Venezuela

3. Dpto. de Matemáticas, FACYT; Universidad de Carabobo; Valencia Venezuela

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference35 articles.

1. Markov-switching autoregressive models for wind time series;Ailliot;Environmental Modelling & Software,2012

2. Identifiability of parameters in latent structure models with many observed variables;Allman;Annals of Statistics,2009

3. Weak dependence beyond mixing and asymptotics for nonparametric regression;Ango-Nze;Annals of Statistics,2002

4. A maximization technique occurring in the statistical analysis of a probabilistic functions of Markov chains;Baum;Annals of Mathematical Statistics,1970

5. An EM-like algorithm for semi- and non-parametric estimation in multivariate mixtures;Benaglia;Journal of Computational and Graphical Statistics,2009

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