Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq، نويسنده , , Antony Gautier، نويسنده ,

فصلنامه با شماره پیاپی سال 2004

9

243

251

Quasi-generalized least-squares estimator , Non-stationary processes , Markovian changes in regime , Time-varyingARMA models , Asymptotic covariance matrix

Statistics and Probability Letters

2004

Statistics and Probability Letters

140410