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A General Autoregressive Modelwith Markov Switching: Estimation and Consistency
SLU, Centre of Biostochastics.
SLU, Centre of Biostochastics.
SLU, Centre of Biostochastics.
2008 (English)In: Mathematical Methods of Statistics, ISSN 1066-5307, Vol. 17, no 3, 228-240 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, a general autoregressive model with Markov switching is considered, where the autoregression may be of an infinite order. The consistency of the maximum likelihood estimators for this model is obtained under regularity assumptions. Examples of finite and infinite order autoregressive models with Markov switching are discussed. Simulation studies with these examples illustrate the consistency and asymptotic normality of the estimators.

Place, publisher, year, edition, pages
Allerton Press , 2008. Vol. 17, no 3, 228-240 p.
Keyword [en]
Asymptotic normality, consistency, general autoregressive model, Markov switching, MLE.
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
URN: urn:nbn:se:umu:diva-63689DOI: 10.3103/S1066530708030046OAI: diva2:582350
Available from: 2013-01-04 Created: 2013-01-04 Last updated: 2013-09-30Bibliographically approved

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Yu, Jun
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