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math.ST2016
Asymptotic properties of the maximum likelihood estimator for nonlinear AR processes with markov-switching
Luis-Angel Rodríguez
In this note, we propose a new approach for the proof of the consistency and normality of the maximum likelihood estimator for nonlinear AR processes with markov-switching under th…
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…