Ergodicity of Autoregressive Processes with Markov-switching and Consistency of the Maximum-likelihood Estimator

Statistics

Volumn 32, Issue 2, 1998, Pages 151-173

  Francq, Christian ^a   Roussignol, Michel ^b  

^a UNIV LILLE   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Consistency; Hidden Markov chain; Maximum likelihood; Non linear time series models; Switching models

Indexed keywords

EID: 11744382461     PISSN: 02331888     EISSN: None     Source Type: Journal    
DOI: 10.1080/02331889808802659     Document Type: Article

References (13)

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