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Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
| Content Provider | Semantic Scholar |
|---|---|
| Author | Rynkiewicz, Joseph |
| Copyright Year | 2004 |
| Abstract | This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliot for general hidden Markov models and avoid to use backward recursion. |
| Starting Page | 166 |
| Ending Page | 173 |
| Page Count | 8 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://hal.archives-ouvertes.fr/docs/00/25/81/37/PDF/extend_elliot.pdf |
| Alternate Webpage(s) | https://arxiv.org/pdf/0802.3143v1.pdf |
| Alternate Webpage(s) | http://arxiv.org/pdf/0802.3143v1.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
