Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
- We consider a mixture of AR-ARCH models where the switching between the basic states of the observed time series is controlled by a hidden Markov chain. Under simple conditions, we prove consistency and asymptotic normality of the maximum likelihood parameter estimates combining general results on asymptotics of Douc et al (2004) and of geometric ergodicity of Franke et al (2007).
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| Author: | Jürgen Franke, Joseph Tadjuidje Kamgaing |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-16268 |
| Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (124) |
| Document Type: | Preprint |
| Language of publication: | English |
| Year of Completion: | 2009 |
| Year of first Publication: | 2009 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2009/10/19 |
| Tag: | AR-ARCH; Markov switching; consistency; geometric ergodicity; mixture models |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |