In: Tatra Mountains Mathematical Publications, vol. 61, no. 4
Anna Petričková
Details:
Year, pages: 2014, 131 - 140
Keywords:
time series, non-linear models, Markov-switching model, central moment
About article:
In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived 2nd central moment of the MSW models for two cases—state-independent and state-dependent model.
How to cite:
ISO 690:
Petričková, A. 2014. Moments of Markov-switching models. In Tatra Mountains Mathematical Publications, vol. 61, no.4, pp. 131-140. 1210-3195.
APA:
Petričková, A. (2014). Moments of Markov-switching models. Tatra Mountains Mathematical Publications, 61(4), 131-140. 1210-3195.