Spectral density of Markov switching models: Derivation, simulation studies and application
(2016)
Journal Article
Cheng, J. (2016). Spectral density of Markov switching models: Derivation, simulation studies and application. Model Assisted Statistics and Applications, 44(4), 277-291. https://doi.org/10.3233/MAS-160373
This paper is concerned with frequency domain analysis of Markov mean-switching autoregressive (MMSAR) models, linear Markov switching autoregressive (LMSAR) model and transitional Markov switching autoregressive (TMSAR) model. We derive the general... Read More about Spectral density of Markov switching models: Derivation, simulation studies and application.