Estimation in autoregressive models with Markov regime

Details Estimation in autoregressive models with Markov regime Estimation in autoregressive models with Markov regime

2005-05-04

arxiv.org/abs/math/0505081v1

Mathematics

Statistics Theory

22 pages, 6 figures, 2 table

Scientific paper

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.

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