English

Asymptotic properties of the maximum likelihood estimator for nonlinear AR processes with markov-switching

Statistics Theory 2016-06-01 v1 Statistics Theory

Abstract

In this note, we propose a new approach for the proof of the consistency and normality of the maximum likelihood estimator for nonlinear AR processes with markov-switching under the assumptions of uniform exponential forgetting of the prediction filter and α\alpha-mixing property. We show that in the linear and Gaussian case our assumptions are fully satisfied.

Keywords

Cite

@article{arxiv.1605.09457,
  title  = {Asymptotic properties of the maximum likelihood estimator for nonlinear AR processes with markov-switching},
  author = {Luis-Angel Rodríguez},
  journal= {arXiv preprint arXiv:1605.09457},
  year   = {2016}
}