Trend in Markov Switching VAR Models

Contributo in Atti di convegno
Data di Pubblicazione:
2025
Citazione:
Trend in Markov Switching VAR Models / Cavicchioli, Maddalena. - (2025), pp. 394-398. ( 2025 International conference on Statistics for Innovation-SIS Genoa, Italy JUNE 16-18, 2025) [10.1007/978-3-031-96303-2_64].
Abstract:
We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
Tipologia CRIS:
Relazione in Atti di Convegno
Keywords:
Markov switching VAR; deterministic trend; OLS estimator; consistency; asymptotic distribution.
Elenco autori:
Autori di Ateneo:
Link alla scheda completa:
https://iris.unimore.it/handle/11380/1387474
Titolo del libro:
STATISTICS FOR INNOVATION II, SIS 2025
Pubblicato in:
ITALIAN STATISTICAL SOCIETY SERIES ON ADVANCES IN STATISTICS
Series