Sammanfattning

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

Nyckelord

asymptotic normality - consistency - general autoregressive model - Markov switching - MLE

Publicerad i

Mathematical Methods of Statistics
2008, Volym: 17, nummer: 3, sidor: 228-240
Utgivare: Allerton Press, Inc

SLU författare

• Xie, Yingfu

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

• Yu, Jun

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

• Ranneby, Bo

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Sannolikhetsteori och statistik


Publikationens identifierare

DOI: https://doi.org/10.3103/S1066530708030046

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/18911