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Cheng, J (2016) A Transitional Markov Switching Autoregressive Model. Communications in Statistics - Theory and Methods, 45 (10). pp. 2785-2800. ISSN 0361-0926
Full text not available from this repository.Abstract
This paper is concerned with properties of a transitional Markov switching autoregressive (TMSAR) model, together with its maximum-likelihood estimation and inference. We extend existing MSAR models by allowing dependence of AR parameters on hidden states at time points prior to the current time t. A stationary solution is given and expressions for the theoretical autocovariance function are derived. Two time series are analyzed and the new model outperforms two existing MSAR models in terms of maximized log-likelihood, residual correlations, and one-step-ahead forecasting performance. The new model also gives more regime changes in agreement with real events.
Item Type: | Article |
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Additional Information: | This publication is available online at https://www.tandfonline.com/doi/full/10.1080/03610926.2014.894065 |
Uncontrolled Keywords: | autocovariance structure; filter and smoothed probabilities; Markov switching autoregressive models; Stationary time series |
Subjects: | Q Science > QA Mathematics |
Divisions: | Faculty of Natural Sciences > School of Computing and Mathematics |
Depositing User: | Symplectic |
Date Deposited: | 09 Jan 2019 16:11 |
Last Modified: | 15 Apr 2019 08:51 |
URI: | https://eprints.keele.ac.uk/id/eprint/5654 |