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 -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}
}