Janczura, Joanna; Weron, Rafał - In: AStA Advances in Statistical Analysis 97 (2013) 3, pp. 239-270
This paper complements a recently published study (Janczura and Weron in AStA-Adv Stat Anal 96(3):385–407, <CitationRef CitationID="CR38">2012</CitationRef>) on efficient estimation of Markov regime-switching models. Here, we propose a new goodness-of-fit testing scheme for the marginal distribution of such models. We consider models...</citationref>