The spectral representation of Markov switching ARMA models
| Autor: | Beatrice Pataracchia |
|---|---|
| Přispěvatelé: | Research Group: Econometrics, Econometrics and Operations Research |
| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: |
Economics and Econometrics
Mathematical optimization Statistics::Theory Spectral representation Markov chain Variable-order Markov model Physics::Data Analysis Statistics and Probability Markov model Spectral density function symbols.namesake Autocovariance Fourier transform Frequency domain symbols Applied mathematics Statistics::Methodology Finance Mathematics |
| Zdroj: | Economics Letters, 112(1), 11-15. Elsevier |
| ISSN: | 0165-1765 |
| Popis: | In this paper we propose a method to derive the spectral density function of Markov switching ARMA models. We apply the Riesz–Fischer theorem which defines the spectral representation as the Fourier transform of the autocovariance functions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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