Stationarity of Multivariate Markov-Switching ARMA Models.

In this article we consider multivariate ARMA models subject to Markov-switching. In this article we show that the local stationarity of the observed process is neither sufficient nor necessary to obtain the global stationarity. We derive stationarity conditions and we compute the autocovariance function of this nonlinear process.

MoreLess

Year of publication:	2000
Authors:	Francq, C. ; Zakoian, J.-M.
Subject:	MODELS \| TIME SERIES \| STATISTICAL INFERENCE

More details

Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641036