Liu, Ji-Chun - In: Statistics & Probability Letters 82 (2012) 7, pp. 1468-1473
This paper considers a new so-called autoregressive process with ARCH(1) errors driven by a hidden Markov chain, Xt+1=α(Δt+1)Xt+ηt+1β(Δt+1)+λ(Δt+1)Xt2,t∈N, where (ηt) is a sequence of independent and identically distributed standard normal random variables, and (Δt) is a Markov chain...
