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  • Search: subject:"Multivariate ARMA models"
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Year of publication
Subject
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Frequency Domain 1 Markov switching models 1 Mathematics Subject Classification (1991): 62M10. 1 Multivariate ARMA models 1 Regime-switching models 1 identifiability 1 identification 1 multivariate ARMA models 1
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Online availability
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Berlinet, Alain 1 Francq, Christian 1 Pataracchia, Beatrice 1
Institution
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Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1
Published in...
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Department of Economics University of Siena 1 Statistical Inference for Stochastic Processes 1
Source
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RePEc 2
Showing 1 - 2 of 2
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The Spectral Representation of Markov-Switching Arma Models
Pataracchia, Beatrice - Dipartimento di Economia Politica e Statistics, … - 2008
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...
Persistent link: https://www.econbiz.de/10005824324
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On the Identifiability of Minimal VARMA Representations
Berlinet, Alain; Francq, Christian - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10005169140
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