Consistent estimation of linear and non-linear autoregressive models with Markov regime

Journal of Time Series Analysis

Volumn 19, Issue 3, 1998, Pages 291-307

  Krishnamurthy, Vikram ^a   Rydén, Tobias ^a  

^a NONE

Author keywords

Autoregressive process; Hidden Markov model; Markov regime; Maximum likelihood; Switching autoregression

Indexed keywords

EID: 0001203563     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00093     Document Type: Article

References (22)

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