Tatra Mountains Mathematical Publications
Special Issue Title: Applied Mathematics ‘14
O artykule
Data publikacji: 11 mar 2015
Zakres stron: 131 - 140
Otrzymano: 24 paź 2012
DOI: https://doi.org/10.2478/tmmp-2014-0032
Słowa kluczowe
© 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