We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p∗, q∗) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden state
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 study the autocovariance structure of a general Markov switching second-order stationary VARMA mo...
We study the autocovariance structure of a general Markov switching second-order stationary VARMA mo...
We consider state-space representation of a multivariate dynamic process with Markov switching in bo...
We give stable finite-order vector autoregressive moving average (p*; q*) representations for M-stat...
We give stable finite-order vector autoregressive moving average (p*; q*) representations for M-stat...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE)...
We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE)...
We study model selection issues and some extensions of Markov switching models. We establish both th...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
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 study the autocovariance structure of a general Markov switching second-order stationary VARMA mo...
We study the autocovariance structure of a general Markov switching second-order stationary VARMA mo...
We consider state-space representation of a multivariate dynamic process with Markov switching in bo...
We give stable finite-order vector autoregressive moving average (p*; q*) representations for M-stat...
We give stable finite-order vector autoregressive moving average (p*; q*) representations for M-stat...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE)...
We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE)...
We study model selection issues and some extensions of Markov switching models. We establish both th...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
We show that the covariance function of a second-order stationary vector Markov regime switching tim...
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...