most citedA Robbins Monro algorithm for nonparametric estimation of NAR process with Markov-Switching: consistency

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math.ST2014★ 1 cited

A Robbins Monro algorithm for nonparametric estimation of NAR process with Markov-Switching: consistency

Lisandro Fermín, Ricardo Ríos, Luis-Angel Rodríguez

We consider nonparametric estimation for functional autoregressive processes with Markov switching. First, we study the case where complete data is available; i.e. when we observe…