Tatra Mountains Mathematical Publications
Special Issue Title: Applied Mathematics ‘14
À propos de cet article
Publié en ligne: 11 mars 2015
Pages: 131 - 140
Reçu: 24 oct. 2012
DOI: https://doi.org/10.2478/tmmp-2014-0032
Mots clés
© 2015
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived 2nd central moment of the MSW models for two cases-state-independent and state-dependent model