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

2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/155404This 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.MethodologyStatistics TheoryEstimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisitedtext