Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.
Rynkiewicz, Joseph
HAL, hal-00258137 / Harvested from HAL
Text on HAL
This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliot for general hidden Markov models and avoid to use backward recursion.
Publié le : 2004-07-05
Classification:  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH],  [STAT.ME]Statistics [stat]/Methodology [stat.ME] 
@article{hal-00258137,
     author = {Rynkiewicz, Joseph},
     title = {Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00258137}
}

Rynkiewicz, Joseph. Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited.. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00258137/