We make available simple and accurate closed-form approximations to the marginal distribution of Markov-switching Vector Auto-Regressive (MS VAR) processes. The approximation is built upon the property of MS VAR processes of being gaussian conditionally on any semiinfinite sequence of the latent state.
Marginal distribution of Markov-switching VAR processes* / Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - STAMPA. - 46:(2017), pp. 6605-6623. [10.1080/03610926.2015.1132324]
Marginal distribution of Markov-switching VAR processes*
FIORENTINI, GABRIELE;
2017
Abstract
We make available simple and accurate closed-form approximations to the marginal distribution of Markov-switching Vector Auto-Regressive (MS VAR) processes. The approximation is built upon the property of MS VAR processes of being gaussian conditionally on any semiinfinite sequence of the latent state.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Marginal distribution of Markov switching VAR processes.pdf
accesso aperto
Tipologia:
Pdf editoriale (Version of record)
Licenza:
Open Access
Dimensione
895.98 kB
Formato
Adobe PDF
|
895.98 kB | Adobe PDF |
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
