The spectral representation of Markov switching ARMA models
AbstractIn this paper we propose a method to derive the spectral density function of Markov switching ARMA models. We apply the Riesz-Fischer theorem which defines the spectral representation as the Fourier transform of the autocovariance functions.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 112 (2011)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Multivariate ARMA models Regime switching models Markov switching models Frequency domain;
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