Estimation of time-varying ARMA models with Markovian changes in regime
In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.
Year of publication: |
2004
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Authors: | Francq, Christian ; Gautier, Antony |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 4, p. 243-251
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Publisher: |
Elsevier |
Keywords: | Time-varying ARMA models Non-stationary processes Quasi-generalized least-squares estimator Asymptotic covariance matrix Markovian changes in regime |
Saved in:
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