Estimation of time-varying ARMA models with Markovian changes in regime
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 70 (2004)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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