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- W2000281646 abstract "We show that the covariance function of a second-order stationary vector Markov regime switching time series has a vector ARMA(p,q) representation, where upper bounds for p and q are elementary functions of the number of regimes. These bounds apply to vector Markov regime switching processes with both mean–variance and autoregressive switching. This result yields an easily computed method for setting a lower bound on the number of underlying Markov regimes from an estimated autocovariance function." @default.
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- W2000281646 date "2001-01-01" @default.
- W2000281646 modified "2023-10-02" @default.
- W2000281646 title "Autocovariance Structure of Markov Regime Switching Models and Model Selection" @default.
- W2000281646 doi "https://doi.org/10.1111/1467-9892.00214" @default.
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