We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
Trend in Markov Switching VAR Models / Cavicchioli, M.. - (2025), pp. 394-398. (2025 International conference on Statistics for Innovation-SIS Genoa, Italy JUNE 16-18, 2025) [10.1007/978-3-031-96303-2_64].
Trend in Markov Switching VAR Models
Cavicchioli, Maddalena
2025
Abstract
We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
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