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20052026
most citedPenalized estimate of the number of states in Gaussian linear AR with Markov regime

8 citations · 11 across the 5 of their papers we have counts for

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stat.ME2026

A Robbins-Monro algorithm for non-parametric estimation of NAR process with Markov-Switching: asymptotic normality

Lisandro Fermin, Ricardo Rios, Luis-Ángel Rodríguez

This paper is the second part of our study on the non-parametric estimation of MS-NAR processes started with [L. Fermin et al. 2017]. We consider the Nadaraya-Watson type regressio…