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A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency

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  • Lisandro Javier Fermin
  • Ricardo Rios
  • Luis Angel Rodriguez

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  • Lisandro Javier Fermin & Ricardo Rios & Luis Angel Rodriguez, 2017. "A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 809-837, November.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:6:p:809-837
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    File URL: http://hdl.handle.net/10.1111/jtsa.12237
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    References listed on IDEAS

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    1. Christian Francq & Michel Roussignol & Jean‐Michel Zakoian, 2001. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 197-220, March.
    2. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    3. J. Franke & J.-P. Stockis & J. Tadjuidje-Kamgaing & W. Li, 2011. "Mixtures of nonparametric autoregressions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 287-303.
    4. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    5. Frederic Ferraty & Vicente Núñez-Antón & Philippe Vieu, 2001. "Regresión No Paramétrica: Desde la Dimensión Uno Hasta la Dimensión Infinita," UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, number 10.
    6. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
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