We consider state-space representation of a multivariate dynamic process with Markov switching in both measurement and transition equations. Under appropriate moment conditions, we show that the autocovariance structure of such a process coincides with that of a stable VARMA model. This is potentially useful for statistical applications and for model selection as, for example, the identification of the regime number. Applications for classical Markov switching models and some numerical illustrations complete the paper.

Weak VARMA Representations of Regime-Switching State-Space Models / Cavicchioli, Maddalena. - In: STATISTICAL PAPERS. - ISSN 0932-5026. - STAMPA. - 57(3):(2016), pp. 705-720. [10.1007/s00362-015-0675-1]

Weak VARMA Representations of Regime-Switching State-Space Models

CAVICCHIOLI, MADDALENA
2016

Abstract

We consider state-space representation of a multivariate dynamic process with Markov switching in both measurement and transition equations. Under appropriate moment conditions, we show that the autocovariance structure of such a process coincides with that of a stable VARMA model. This is potentially useful for statistical applications and for model selection as, for example, the identification of the regime number. Applications for classical Markov switching models and some numerical illustrations complete the paper.
2016
57(3)
705
720
Weak VARMA Representations of Regime-Switching State-Space Models / Cavicchioli, Maddalena. - In: STATISTICAL PAPERS. - ISSN 0932-5026. - STAMPA. - 57(3):(2016), pp. 705-720. [10.1007/s00362-015-0675-1]
Cavicchioli, Maddalena
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1111123
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