Moments of Markov-switching models
Petričková, Anna
Tatra Mountains Mathematical Publications, Tome 58 (2014), / Harvested from Mathematical Institute
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In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived second central moment of the MSW models for two cases - state-independent and state-dependent model.

Publié le : 2014-01-01
DOI : https://doi.org/10.2478/tatra.v61i0.308 
@article{308,
     title = {Moments of Markov-switching models},
     journal = {Tatra Mountains Mathematical Publications},
     volume = {58},
     year = {2014},
     doi = {10.2478/tatra.v61i0.308},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/308}
}

Petričková, Anna. Moments of Markov-switching models. Tatra Mountains Mathematical Publications, Tome 58 (2014) . doi : 10.2478/tatra.v61i0.308. http://gdmltest.u-ga.fr/item/308/