Estimation in autoregressive models with Markov regime
统计理论
2016-08-16 v1 统计理论
摘要
In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime.
引用
@article{arxiv.math/0505081,
title = {Estimation in autoregressive models with Markov regime},
author = {Ricardo Ríos and Luis Rodríguez},
journal= {arXiv preprint arXiv:math/0505081},
year = {2016}
}
备注
22 pages, 6 figures, 2 table