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Estimation in autoregressive models with Markov regime
| Content Provider | Semantic Scholar |
|---|---|
| Author | Rios, Ricardo Rodriguez, Luis |
| Copyright Year | 2005 |
| Abstract | In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://arxiv.org/pdf/math/0505081v1.pdf |
| Alternate Webpage(s) | https://arxiv.org/pdf/math/0505081v1.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
