We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p*, q*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This...

In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models. The procedure simply relies on the application of the Riesz-Fisher Theorem which describes the spectral density as the Fourier transform of...