Autocovariance and Linear Transformations of Markov Switching VARMA Processes
DOI:
https://doi.org/10.24425/cejeme.2014.119243Keywords:
time series, multivariate ARMA, state-space models, Markov chains, changes in regime, autocovariance, linear representationsAbstract
We study the autocovariance structure of a general Markov switching
second-order stationary VARMA model. Then we give stable finite
order VARMA(p∗, q∗) representations for those M-state Markov switching
VARMA(p, q) processes where the observables are uncorrelated with the regime
variables. This allows us to obtain sharper bounds for p
∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic
properties and facilitate statistical inference about the orders of MS-VARMA
models and the underlying number of hidden states.
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Published
2014-11-22
How to Cite
Cavicchioli, M. (2014). Autocovariance and Linear Transformations of Markov Switching VARMA Processes. Central European Journal of Economic Modelling and Econometrics, 6(4), 275–289. https://doi.org/10.24425/cejeme.2014.119243
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ARTICLES
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Copyright (c) 2025 Maddalena Cavicchioli
This work is licensed under a Creative Commons Attribution 4.0 International License.
