ESTIMATION OF LINEAR AUTOREGRESSIVE MODELS WITH MARKOV-SWITCHING, THE E.M. ALGORITHM REVISITED

Joseph Rynkiewicz

ESTIMATION OF LINEAR AUTOREGRESSIVE MODELS WITH MARKOV-SWITCHING, THE E.M. ALGORITHM REVISITED

Authors

Joseph Rynkiewicz SAMOS/MATISSE, University of Paris I

Keywords:

Hidden Markov models, Switching models

Abstract

This work concerns estimation of linear autoregressive models with Markov-switching using expectation maximisation (E.M.) algorithm. Our method generalise the method introduced by Elliott for general hidden Markov models and avoid to use backward recursion

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Published

2023-06-14

How to Cite

Rynkiewicz, J. (2023). ESTIMATION OF LINEAR AUTOREGRESSIVE MODELS WITH MARKOV-SWITCHING, THE E.M. ALGORITHM REVISITED. Investigación Operacional, 25(2). Retrieved from https://revistas.uh.cu/invoperacional/article/view/6569