Details

Title

Autocovariance and Linear Transformations of Markov Switching VARMA Processes

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2014

Numer

No 4

Authors

Keywords

time series ; multivariate ARMA ; state-space models ; Markovchains ; changes in regime ; autocovariance ; linear representations

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

275-289

Publisher

Oddział PAN w Łodzi

Date

31.12.2014

Type

Artykuły / Articles

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

DOI

10.24425/cejeme.2014.119243

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