We present various formulae in closed form for the spectral density of multivariate or univariate ARMA models subject to Markov switching, and describe some new properties of them. Many examples and numerical applications are proposed to illustrate the behaviour of the spectral density. This turns out to be useful in order to investigate various concepts of stationarity via spectral analysis
We develop a method to validate the use of Markov Switching models in modelling time series subject ...
We consider a vector autoregressive (VAR) model subject to Markov Switching and present results for ...
Abstract. In Francq and Zaköan [4], we derived stationarity conditions for ARMA(p, q) models subjec...
We present various formulae in closed form for the spectral density of multivariate or univariate AR...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We consider state-space representation of a multivariate dynamic process with Markov switching in bo...
In this paper we propose a method to derive the spectral density function of Markov Switching ARMA m...
This paper is concerned with frequency domain analysis of Markov mean-switching autoregressive (MMSA...
We develop a method to validate the use of Markov Switching models in modelling time series subject ...
We consider a vector autoregressive (VAR) model subject to Markov Switching and present results for ...
We develop a method to validate the use of Markov Switching models in modelling time series subject ...
We consider a vector autoregressive (VAR) model subject to Markov Switching and present results for ...
Abstract. In Francq and Zaköan [4], we derived stationarity conditions for ARMA(p, q) models subjec...
We present various formulae in closed form for the spectral density of multivariate or univariate AR...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We review some results on stationarity and autocovariance function for Markov switching VARMA models...
We consider state-space representation of a multivariate dynamic process with Markov switching in bo...
In this paper we propose a method to derive the spectral density function of Markov Switching ARMA m...
This paper is concerned with frequency domain analysis of Markov mean-switching autoregressive (MMSA...
We develop a method to validate the use of Markov Switching models in modelling time series subject ...
We consider a vector autoregressive (VAR) model subject to Markov Switching and present results for ...
We develop a method to validate the use of Markov Switching models in modelling time series subject ...
We consider a vector autoregressive (VAR) model subject to Markov Switching and present results for ...
Abstract. In Francq and Zaköan [4], we derived stationarity conditions for ARMA(p, q) models subjec...
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