Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime

Annals of Statistics

Volumn 32, Issue 5, 2004, Pages 2254-2304

  Douc, Randal ^a   Moulines, Éric ^a   Rydén, Tobias ^b  

^a TELECOM PARISTECH   (France)

^b LUND UNIVERSITY   (Sweden)

Author keywords

Asymptotic normality; Autoregressive process; Consistency; Geometric ergodicity; Hidden Markov model; Identifiability; Maximum likelihood; Switching autoregression

Indexed keywords

EID: 21244500381     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053604000000021     Document Type: Article

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