We derive matrix formulae in closed form for the unconditional third and fourth moments of a broad class of vector autoregressive time series with regime switching. First and second moments are well-known. New measures of multivariate skewness and kurtosis are introduced and basic properties are investigated. The knowledge of series level, variation, co-movements, skewness and kurtosis are useful to support model interpretation in real data application. Numerical examples complete the paper.

Third and fourth moments of vector autoregressions with regime switching / Cavicchioli, Maddalena. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - STAMPA. - 46:9(2017), pp. 4181-4194. [10.1080/03610926.2015.1080840]

Third and fourth moments of vector autoregressions with regime switching

CAVICCHIOLI, MADDALENA
2017

Abstract

We derive matrix formulae in closed form for the unconditional third and fourth moments of a broad class of vector autoregressive time series with regime switching. First and second moments are well-known. New measures of multivariate skewness and kurtosis are introduced and basic properties are investigated. The knowledge of series level, variation, co-movements, skewness and kurtosis are useful to support model interpretation in real data application. Numerical examples complete the paper.
2017
46
9
4181
4194
Third and fourth moments of vector autoregressions with regime switching / Cavicchioli, Maddalena. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - STAMPA. - 46:9(2017), pp. 4181-4194. [10.1080/03610926.2015.1080840]
Cavicchioli, Maddalena
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1111134
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