Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
Methodology
2008-02-22 v1 Statistics Theory
Statistics Theory
Abstract
This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliot for general hidden Markov models and avoid to use backward recursion.
Cite
@article{arxiv.0802.3143,
title = {Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited},
author = {Joseph Rynkiewicz},
journal= {arXiv preprint arXiv:0802.3143},
year = {2008}
}