<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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</p></abstract>

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

Moments of Markov-Switching Models

Department of Mathematics Faculty of Civil Engineering Slovak University of Technology Radlinského 11SK–813-68 Bratislava SLOVAKIA

Tatra Mountains Mathematical Publications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Moments of Markov-Switching Models"}

In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely...

Moments of Markov-Switching Models

Pubblicato online: 11 mar 2015

Pagine: 131 - 140

Ricevuto: 24 ott 2012

DOI: https://doi.org/10.2478/tmmp-2014-0032

Parole chiave
time series, non-linear models, Markov-switching model, central moment

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Moments of Markov-Switching Models

Pubblicato online: 11 mar 2015

Pagine: 131 - 140

Ricevuto: 24 ott 2012

DOI: https://doi.org/10.2478/tmmp-2014-0032

Parole chiavetime series, non-linear models, Markov-switching model, central moment

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Parole chiave
time series, non-linear models, Markov-switching model, central moment