2 papers
stat.ME2023
Margin-closed regime-switching multivariate time series models
Lin Zhang, Harry Joe, Natalia Nolde
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-…
stat.ME2022
Margin-closed vector autoregressive time series models
Lin Zhang, Harry Joe, Natalia Nolde
Conditions are obtained for a Gaussian vector autoregressive time series of order , VAR(), to have univariate margins that are autoregressive of order or lower-dimensiona…