most citedPenalized estimate of the number of states in Gaussian linear AR with Markov regime

8 citations · 8 across the 1 of their papers we have counts for

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math.ST2008★ 8 cited

Penalized estimate of the number of states in Gaussian linear AR with Markov regime

Ricardo Ríos, Luis-Angel Rodríguez

We deal with the estimation of the regime number in a linear Gaussian autoregressive process with a Markov regime (AR-MR). The problem of estimating the number of regimes in this t…