We present various formulae in closed form for the spectral density of multivariate or univariate ARMA models subject to Markov switching, and describe some new properties of them. Many examples and numerical applications are proposed to illustrate the behaviour of the spectral density. This turns out to be useful in order to investigate various concepts of stationarity via spectral analysis.
On Spectral Representation of VARMA Models with Change in Regime / Cavicchioli, Maddalena. - In: MATHEMATICS AND STATISTICS. - ISSN 2332-2071. - STAMPA. - 2:(2014), pp. 89-100. [10.13189/ms.2014.020205]
On Spectral Representation of VARMA Models with Change in Regime
CAVICCHIOLI, MADDALENA
2014
Abstract
We present various formulae in closed form for the spectral density of multivariate or univariate ARMA models subject to Markov switching, and describe some new properties of them. Many examples and numerical applications are proposed to illustrate the behaviour of the spectral density. This turns out to be useful in order to investigate various concepts of stationarity via spectral analysis.
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