Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local...

The class of finite state space Markov chains stationary with respect to a common pre-specified distribution is considered. An easy to check partial ordering is defined on this class. The ordering provides a sufficient condition for the dominating Markov chain to be more efficient. Efficiency is...