Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments in non-linear modeling is illustrated with two examples. A Matlab code that implements the results is available from the authors.
Skewness and kurtosis of multivariate Markov-switching processes / Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - STAMPA. - 100:(2016), pp. 153-159. [10.1016/j.csda.2015.06.009]
Skewness and kurtosis of multivariate Markov-switching processes
FIORENTINI, GABRIELE;
2016
Abstract
Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments in non-linear modeling is illustrated with two examples. A Matlab code that implements the results is available from the authors.
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