Autocovariance structure of powers of switching-regime ARMA Processes
Christian Francq; Jean-Michel Zakoïan
ESAIM: Probability and Statistics (2010)
- Volume: 6, page 259-270
- ISSN: 1292-8100
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topFrancq, Christian, and Zakoïan, Jean-Michel. "Autocovariance structure of powers of switching-regime ARMA Processes." ESAIM: Probability and Statistics 6 (2010): 259-270. <http://eudml.org/doc/104292>.
@article{Francq2010,
abstract = {
In Francq and Zakoïan [4], we derived stationarity conditions for
ARMA(p,q) models subject to Markov switching. In this paper, we
show that, under appropriate moment conditions, the powers of the
stationary solutions admit weak ARMA representations, which we are
able to characterize in terms of p,q, the coefficients of the
model in each regime, and the transition probabilities of the
Markov chain. These representations are potentially useful for
statistical applications.
},
author = {Francq, Christian, Zakoïan, Jean-Michel},
journal = {ESAIM: Probability and Statistics},
keywords = {ARMA representation; hidden Markov models;
Markov-switching models; identification.},
language = {eng},
month = {3},
pages = {259-270},
publisher = {EDP Sciences},
title = {Autocovariance structure of powers of switching-regime ARMA Processes},
url = {http://eudml.org/doc/104292},
volume = {6},
year = {2010},
}
TY - JOUR
AU - Francq, Christian
AU - Zakoïan, Jean-Michel
TI - Autocovariance structure of powers of switching-regime ARMA Processes
JO - ESAIM: Probability and Statistics
DA - 2010/3//
PB - EDP Sciences
VL - 6
SP - 259
EP - 270
AB -
In Francq and Zakoïan [4], we derived stationarity conditions for
ARMA(p,q) models subject to Markov switching. In this paper, we
show that, under appropriate moment conditions, the powers of the
stationary solutions admit weak ARMA representations, which we are
able to characterize in terms of p,q, the coefficients of the
model in each regime, and the transition probabilities of the
Markov chain. These representations are potentially useful for
statistical applications.
LA - eng
KW - ARMA representation; hidden Markov models;
Markov-switching models; identification.
UR - http://eudml.org/doc/104292
ER -
References
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