Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited

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dc.creatorRynkiewicz, Joseph
dc.date2008-02-21
dc.date.accessioned2026-07-07T09:22:32Z
dc.date.available2026-07-07T09:22:32Z
dc.descriptionThis 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.
dc.identifierhttps://arxiv.org/abs/0802.3143
dc.identifierhttp://arxiv.org/abs/0802.3143
dc.identifierINVESTIGACIÓN OPERACIONAL 25, 2 (2004) 166-173
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/155404
dc.subjectMethodology
dc.subjectStatistics Theory
dc.titleEstimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
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