We develop a switching-regime vector autoregressive model in which changes in regimes are governed by an underlying Markov process. In contrast to the typical hidden Markov approach, we allow the transition probabilities of the underlying Markov process to depend on past values of the time...

We propose a new approach to wavelet threshold estimation of spectral densities of stationary time series. Our proposal addresses the problem of heteroscedasticity and non-normality of the (tapered) periodogram. We estimate thresholds for the empirical wavelet coefficients of the periodogram as...