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

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

2008-02-21

arxiv.org/abs/0802.3143v1

INVESTIGACI\'ON OPERACIONAL 25, 2 (2004) 166-173

Statistics

Methodology

Scientific paper

This 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.

Affiliated with

Also associated with

No associations

Rating

Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-580068