Autoregressive processes with data-driven regime switching

Journal article

Peer reviewed

Joseph Tadjuidje Kamgaing, Hernando Ombao and Richard A. Davis

Journal of time series analysis, Vol.30(5), pp.505-533

First Version received July 2008

09/2009

Abstract

asymptotic normality

autoregression

Data-driven

ergodicity

stationarity

switching regime

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Title: Autoregressive processes with data-driven regime switching
Creators - without role: Joseph Tadjuidje Kamgaing - University of Kaiserslautern
Hernando Ombao - John Brown University
Richard A. Davis - Columbia University
Publication Details: Journal of time series analysis, Vol.30(5), pp.505-533
Publisher: Blackwell Publishing Ltd
Edition: First Version received July 2008
Number of pages: 29
Identifiers: 9941646908331
Academic Unit: King Abdullah University of Science & Technology
Language: English
Resource Type: Journal article