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, Markov chains, changes in regime, autocovariance, linear representations.

Divisions of PAS

Nauki Humanistyczne i Społeczne

Publisher

Oddział PAN w Łodzi

Identifier

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

DOI

10.24425/cejeme.2014.119243

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