Autocovariance and Linear Transformations of Markov Switching VARMA Processes

• Autorzy: Maddalena Cavicchioli
• Języki publikacji: EN

Abstrakty

EN

We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p^*, q^*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p^* and q^* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.

Słowa kluczowe

EN

Time-series analysis; Markov chain; Markov models

PL

Analiza szeregów czasowych; Łańcuch Markowa; Modele Markowa

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2014
• Tom: 6
• Numer: nr 4
• Strony: 275--289

Twórcy

autor

Maddalena Cavicchioli

• University of Modena and Reggio Emilia, Italy

Bibliografia

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• [10] Psaradakis, Z. and Spagnolo, N. (2003) On the determination of the number of regimes in Markov-switching autoregressive models, Journal of Time Scries Analysis 24 (2), 237-252.
• [11] Ríos, R. and Rodríguez, L.A. (2008) Penalized estimate of the number of states in Gaussian linear AR with Markov regime, Electronic Journal of Statistics 2, 1111-1128.
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Identyfikatory

DOI

DOI: 10.24425/cejeme.2014.119243