Autocovariance and linear transformations of Markov switching VARMA processes
Maddalena Cavicchioli
| Year of publication: |
2014
|
|---|---|
| Authors: | Cavicchioli, Maddalena |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 6.2014, 4, p. 275-289
|
| Subject: | time series | multivariate ARMA | state-space models | Markov chains | changes in regime | autocovariance | linear representations | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010503008