Estimation of time-varying ARMA models with Markovian changes in regime

In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.Time-varying ARMA models Non-stationary processes Quasi-generalized least-squares estimator Asymptotic covariance matrix Markovian changes in regime